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    Wyświetlanie 1-3 z 3
    Tytuł:
    The optimal portfolio under VaR and ES
    Autorzy:
    Gurgul, H.
    Machno, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/406375.pdf
    Data publikacji:
    2014
    Wydawca:
    Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
    Tematy:
    value at risk
    expected shortfall
    interdependence
    regime copulas
    vine copula
    Opis:
    An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime switching copula based model including asymmetric and fat-tailed copulas. All the indices are left-skewed and fat-tailed. Large indices are more skewed and less fail-tailed. The findings suggest that size of a market has an influence on its properties. A particular behaviour of the Turkish market suggests the importance of geographical factors. It is also suggested that the maturity of a market is insignificant in the analysis. Another important conclusion drawn from our empirical investigation is that VaR is a less exact risk measure than ES. However, the dynamics of the temporal and statistical properties of both measures are similar.
    Źródło:
    Operations Research and Decisions; 2014, 24, 2; 59-79
    2081-8858
    2391-6060
    Pojawia się w:
    Operations Research and Decisions
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    State-of-the-art in modeling nonlinear dependence among many random variables with copulas and application to financial indexes
    Autorzy:
    Bacigál, T.
    Komorníková, Magdaléna
    Komorník, Jozef
    Powiązania:
    https://bibliotekanauki.pl/articles/385191.pdf
    Data publikacji:
    2019
    Wydawca:
    Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
    Tematy:
    dependence
    copula
    elliptically contoured distribution
    vine copula
    factor copula
    hierarchical Archimedean copula
    international financial market indexes
    Opis:
    In this paper, we focus our attention on multi– dimensional copula models for returns of the indexes of selected prominent international financial markets. Our modeling results, based on elliptic copulas, 7‐ dimensional hierarchical Archimedean copulas, vine co‐ pulas and factor copulas demonstrate a dominant role of the SPX index among the considered major stock indexes (mainly at the first tree of the optimal vine copulas). Some interesting weaker conditional dependencies can be de‐ tected at it’s highest trees. Interestingly, while global op‐ timal model (for the whole period of 277 months) belong to the Factor FDG copulas class, the optimal local models can be found (with very minor differences in the values of GoF test statistic) in the classes of Factor FDG and hier‐ archical Archimedean copulas. The dominance of these models is most striking over the interval of the financial market crisis, where the quality of the best Student class model was providing a substantially poorer fit.
    Źródło:
    Journal of Automation Mobile Robotics and Intelligent Systems; 2019, 13, 3; 84-91
    1897-8649
    2080-2145
    Pojawia się w:
    Journal of Automation Mobile Robotics and Intelligent Systems
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Extreme risk spillovers between China and major international stock markets
    Autorzy:
    Qian, Lingling
    Jiang, Yuexiang
    Long, Huaigang
    Powiązania:
    https://bibliotekanauki.pl/articles/23942713.pdf
    Data publikacji:
    2023
    Wydawca:
    Fundacja Naukowa Instytut Współczesnych Finansów
    Tematy:
    vine copula
    high-dimensional dependence structure
    Granger causality in risk
    extreme risk spillover
    Opis:
    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). The results indicate that the R-vine copula is the optimal model to characterize the high-dimensional dependence structure of the markets after China joined the WTO, which suggests obvious structural differences with varying degrees of mainly positive dependences. Moreover, we identify unilateral extreme risk spillovers from China to the United States, France, and Germany, and either from Japan to China. We also detect bilateral spillovers between China and the United States, Japan, as well as Australia.
    Źródło:
    Modern Finance; 2023, 1, 1; 30-34
    2956-7742
    Pojawia się w:
    Modern Finance
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-3 z 3

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