Results 91 to 100 of about 493 (178)

Systemic Risk and Tail-Dependence Between Bitcoin and Selected Precious Metals [PDF]

Financial Markets, Institutions and Risks
Bitcoin and major precious metals are frequently discussed as hedges against equity drawdowns, inflation surprises, and policy uncertainty, which implicitly assumes a degree of functional equivalence in their risk behavior.
Keorapetse LEBALLO, Jules Clement MBA
doaj   +1 more source

Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks. [PDF]

Heliyon, 2022
Zeng H, Ahmed AD, Lu R, Dai N.
europepmc   +1 more source

Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach. [PDF]

Financ Res Lett, 2022
Syuhada K, Suprijanto D, Hakim A.
europepmc   +1 more source

Pruning and Truncating the Mixture R-Vine Model Using the Mixture Weight

Journal of Probability and Statistics
Vine copula mixture models are highly flexible and can handle complex hidden dependencies among variables without restricting the parametric shape of the margins or the type of dependency structure.
Fadhah Alanazi
doaj   +1 more source

Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models. [PDF]

Empir Econ, 2022
Kielmann J, Manner H, Min A.
europepmc   +1 more source

A mutual information based R-vine copula strategy to estimate VaR in high frequency stock market data. [PDF]

PLoS One, 2021
Sharma C, Sahni N.
europepmc   +1 more source

Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine

Journal of Statistical Software, 2013
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann, Ulf Schepsmeier   +1 more
doaj  

Value-at-Risk with Vine Copulas

, 2023
Especially when considering a portfolio with multiple assets the dependence structure in-between them is crucial regarding the grade of diversification and risk assessment. Models which consist of the multivariate normal distribution are popular because of their simplicity and fast calculation time.
openaire   +1 more source

Vine Copula-Based Outage Analysis for Fluid Antenna RIS-NOMA Systems Over Nakagami-m Fading Channels

IEEE Open Journal of the Communications Society
Outage performance in multi-port fluid antenna (FA) systems is governed by the tail dependence between correlated ports, which Gaussian-copula models cannot capture.
Mohammad Al Bataineh, Zaid Albataineh
doaj   +1 more source

Reliability Assessment for Multivariate Degradation System Based on Uncertainty and Chatterjee Correlation Coefficient

Systems
Considering the effects of complex correlations between variables and uncertainty of degradation processes in multivariate degradation systems, a system reliability assessment method that integrated Chatterjee correlation coefficient and stochastic ...
Jiayin Tang, Mengjia Jiang, Yamin Mao
doaj   +1 more source