This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula … uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change …-point detection is employed to better construct mixture R-vine copula uncertainty. We introduce worst-case spectral risk measures …

, there is much arbitrariness in their choice. The author proposes “a natural copula” concept, which minimizes Wasserstein … hydrodynamic interpretation are discussed with two examples of distributions of financial significance. A natural copula can be …

Gaussian copula approach. This problem occurs when the endogenous regressor is nearly normally distributed and, thus, is highly … correlated with its copula transformation term of the augmented regression controlling for the endogeneity problem. Based on a …

bivariate copula families in regular vines of a pair copula construction. Thus, we have explored various common vines copula …-based models and their structures for selected cryptocurrency trading index volumes. We found the bivariate Gumbel copula model …

Highlights:• State-of-art review of vine copulas and stationary vine copulas.• Two types of vine copula models to …

volatility and technology stocks on the U.S. market using the copula modeling approach. Results demonstrate strongly negative …. The 270° rotated Gumbel copula is chosen as the best fitting model. The observed dependence is in line with stylized facts …

copula is then applied to the marginal distributions to capture the dependence between the exchange rates. The empirical …