necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation …In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …

necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation …In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …

Two important issues in the analysis of association among financial markets are the degree of dependence and the … both the issues. In the study presented in this article, we approach the modelling of dependence in two stages. The first … stage is based on modelling the dependence between the returns of two assets by means of a single Archimedean copula …

market index (represented by the Dow Jones Islamic Market Index) exhibits significant dependence with three major global … dependence varies over time for all cases except the S&P 500 index and is also asymmetric between bear and bull markets in some …

volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The … time dynamic dependence parameter is allowed to evolve according to a restricted ARMA-type equation which includes a … conjunction with non-elliptical distribution functions and tail dependence measure, the authors are allowing for (and focusing on …

distribution. Considering the extreme nature of drought variables, the upper tail dependence copula families including two … Archimedean—Gumbel-Hougaard, BB1 and one elliptical—Student’s t copulas are evaluated for modeling joint distribution of drought … best performing copula in modeling the joint dependence structure of drought variables. Also, while comparing with …

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing …

selected tools from the theory of copulas. We examine both the static and dynamic dependence via unconditional and conditional … copulas. We find significant asymmetric tail dependence in equity markets, with the overall larger lower tail dependence than …This paper investigates the structure and degree of extreme dependence in international equity markets using carefully …