Risk Measurement and Risk Modelling Using Applications of Vine Copulas (original) (raw)
Related papers
Financial dependence analysis: applications of vine copulas
Statistica Neerlandica, 2013
Financial Dependence Analysis: Applications of Vine Copulae
2013
Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index
Computational economics, 2024
Measuring financial risks with copulas
International Review of Financial Analysis, 2004
2012
International Journal of Research and Scientific Innovation (IJRSI), 2024
Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach
2010
Selecting and estimating regular vine copulae and application to financial returns
Computational Statistics & Data Analysis, 2013
Revisiting the Dependence between Financial Markets with Copulas
SSRN Electronic Journal, 2000
Analyzing Dependence Structure of Equity, Bond and Money Markets by Using Time-Varying Copulas
International Journal of Economics and Finance, 2014
Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
Communications in Statistics - Simulation and Computation, 2009
Copulas and bivariate Risk measures : an application to hedge funds
2009
Modeling Bivariate Dependency in Insurance Data via Copula: A Brief Study
Journal of Risk and Financial Management
Modelling dependence between the equity and foreign exchange markets using copulas
Applied Mathematical Sciences, 2014
Measuring systemic risk using vine-copula
In order to minimize risks and create a safe investing environment, financial risk management is becoming more and more crucial for individuals, financial organizations, and even entire nations. Accurately assessing financial risks and using that information to inform wise investment choices can ..., 2024
Advances in Intelligent Systems and Computing, 2014
Fitted Copula Statistical Models for Four African and Four Major Stock Markets
2021
Journal of Statistical Theory and Practice, 2011
IJSER, 2017
Modelling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas
SSRN Electronic Journal, 2014
An Efficient Copula under Data Perturbations Across Stock Markets
Horizon Research Publishing(HRPUB) Kevin Nelson
Mathematics and Statistics, 2019
Selecting copulas for risk management
Journal of Banking & Finance, 2007
A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas
Asian Development Policy Review, 2017
Testing the Gaussian copula hypothesis for financial assets dependences
Quantitative Finance, 2003
Copula Models for Equity Portfolio Risk Estimation: A Case Study of Nairobi Securities Exchange
International Journal of Statistical Distributions and Applications, 2021
Statistical Modeling of Insurance Data via Vine Copula
2019
Dependency between Stock Movements Using the Clayton Copula Method (Ghana Stock Exchange)
International Journal of Science and Research (IJSR), 2020
SSRN Electronic Journal, 2000
Tail Dependence in Financial Markets: A Dynamic Copula Approach
Risks, 2019