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Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach

Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …), and we used the vine copula to model the co-movement between foreign exchange rates and equity indices and value at risk … findings show that the GJR-GARCH with Student's t-distribution, combined with a regular (R)-vine copula, outperforms the …

Persistent link: https://www.econbiz.de/10013252765

An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting

Han, Xuyuan; Liu, Zhenya; Wang, Shixuan - In: Journal of commodity markets 25 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013204443

A derivative-free trust-region algorithm with copula-based models for probability maximization problems

Butyn, Emerson; Karas, Elizabeth W.; Oliveira, Welington de - In: European journal of operational research : EJOR 298 (2022) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10013206808

Tail dependence between bitcoin and green financial assets

Naeem, Muhammad Abubakr; Karim, Sitara - In: Economics letters 208 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013207093

On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes

You, Yinping; Fan, Li; Li, Xiaohu - In: Operations research letters 49 (2021) 5, pp. 777-784

Persistent link: https://www.econbiz.de/10013207446

Extreme linkages between foreign exchange and general financial markets

Wu, Chih-Chiang; Chen, Wei Peng; Korsakul, Nattawadee - In: Pacific-Basin finance journal 65 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013209544

A new class of copula regression models for modelling multivariate heavy-tailed data

Li, Zhengxiao; Beirlant, Jan; Yang, Liang - In: Insurance / Mathematics & economics 104 (2022), pp. 243-261

Persistent link: https://www.econbiz.de/10013264956

Risk aggregation and capital allocation using a new generalized Archimedean copula

Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90

Persistent link: https://www.econbiz.de/10013271960

Tail dependence of OLS

Oorschot, Jochem; Chen Zhou - In: Econometric theory 38 (2022) 2, pp. 273-300

Persistent link: https://www.econbiz.de/10013187225

Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas

Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, … - In: The energy journal 43 (2022) 1, pp. 215-239

Persistent link: https://www.econbiz.de/10013187659