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Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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Application of vine copulas to estimate dew point temperature [PDF]
, 2023 In this study, the accuracy of the copula-based model in the simulation of the dew point temperature in various climates of Iran was investigated, using simulations based on vine copulas such as C-, D-, and R-vine copulas.
Matina Pronoos Sedighi +5 more
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The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange
Managerial Economics, 2015 Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means
Henryk Gurgul, Robert Syrek
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Energy Reports, 2020 The accuracy of correlation modeling for multiple wind farms will directly affect the assessment results of absorption capacity in electric utilities. Due to the rapid increase in installed capacity of wind power in recent years, there are often multiple
Kai Qu +4 more
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Extreme risk spillovers between China and major international stock markets
Modern Finance, 2023 We examine the complex dependence structure and risk spillovers between the Chinese stock market and twelve major international markets. To this end, we employ three types of vine copulas and tests for the Granger causality in risk of Hong et al. (2009).
Lingling Qian +2 more
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Nonparametric C- and D-vine-based quantile regression
Dependence Modeling, 2022 Quantile regression is a field with steadily growing importance in statistical modeling. It is a complementary method to linear regression, since computing a range of conditional quantile functions provides more accurate modeling of the stochastic ...
Tepegjozova Marija +3 more
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Dependence structure across equity sectors: Evidence from vine copulas
Borsa Istanbul Review, 2023 Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from ...
Faheem Aslam +4 more
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Matrix and graph representations of vine copula structures
CoRR, 2022 23 pages, 27 ...
Daniel Pfeifer, Edith Alice Kovács
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Vine copula based dependence modeling in sustainable finance
Journal of Finance and Data Science, 2022 Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which ...
Claudia Czado +5 more
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Univariate conditioning of vine copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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