Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Enjoy the Joy of Copulas: With a Package copula
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
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Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures [PDF]
This paper investigates whether or not there are significant changes in the dependence between the Thai equity market and six Asian markets - namely, Singaporean, Malaysian, Hong Kong, Korean, Indonesian and Taiwanese markets - due to 1997-July financial
Param Silvapulle, Xibin Zhang
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Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index (revised) [PDF]
, 2005 We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition.
Salmon, Mark H. +2 more
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Investigating dynamic dependence using copulae [PDF]
, 2001 A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship.
Salmon, Mark H. +2 more
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Dynamic stochastic copula models: Estimation, inference and applications
We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
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Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
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Decomposition of Bivariate Inequality Indices by Attributes Revisited [PDF]
Decomposability of multidimensional inequality indices by attributes is considered a highly desired property. Naga and Geoffard (2006) provided for it in case of three bivariate indices.
Martyna Kobus
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Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States [PDF]
This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the VIX as a
Mario Jovanovic
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Multivariate Rodriguez Copula with Applications
, 2015 In the appendix, a generalization of Polisicchio distribution (GP) allows to build bivariate distribution by mixing two independent GP’s with a bivariate beta weight distribution. Unfortunately, treating this bivariate distribution is very expensive from
Nicolussi, Federica
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