mixed copula approach generates higher average and risk adjusted excess returns and lower drawdown risk than the traditional … distance method under different weighting structures when we control for trading costs. Particularly, the mixed copula and … top 5 pairs, with annual Sharpe ratios of 0.58 and 0.28, respectively. In addition, the mixed copula method shows a higher …

This paper presents flexible new models for the dependence structure, or copula, of economic variables based on a … tail dependence using extreme value theory, and we verify that simulation-based estimation using rank statistics is … show that factor copula models provide superior estimates of some measures of systemic risk …

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature , we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

strategy using copula modeling technique. Copula allows separate estimation of the marginal distributions of stock returns as …

independent of the marginal distributions of the risks but rather solely copula-dependent. Indeed, all classical measures of tail … classical measures of tail dependence may underestimate the level of tail dependence in copulas. For the Gaussian copula …, however, we prove that the classical measures are maximal. As, in spite of the numerous criticisms, the Gaussian copula …

date. This research proposes the Levy subordinated hierarchical Archimedean copula (LSHAC) model in modelling the spatial … weather risk, compared to the benchmark copula models. Further, the results reveal that more effective hedging may be achieved …

regime. Here, an alternative is proposed, where nonlinear serial and cross-sectional dependence is captured by a copula model …. The copula defines a multivariate time series on the unit cube. A drawable vine copula is employed, along with a … based on model averages over parsimonious representations of the vine copula. The model average estimates are shown to be …

for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation … of different copula functions. We find evidence of intraday time-variation in the dependence structure. After the opening … likelihood values of the time-varying copula model. By contrast, a fixed daily seasonal dependence pattern clearly fits the data …