Vine copulas with asymmetric tail dependence and applications to financial return data

2012 ◽  
Vol 56 (11) ◽  
pp. 3659-3673 ◽  
Author(s):  
Aristidis K. Nikoloulopoulos ◽  
Harry Joe ◽  
Haijun Li
Keyword(s):  
Tail Dependence ◽  
Financial Return ◽  
Vine Copulas ◽  
Return Data

scholarly journals Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

2019 ◽  
Vol 11 (19) ◽  
pp. 5487 ◽  
Author(s):  
Liu ◽  
Wang ◽  
Sriboonchitta
Keyword(s):  
Exchange Rates ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Positive Dependence ◽  
Asymmetric Dependence ◽  
Before And After ◽  
Copula Approach ◽  
Asean Countries ◽  
Vine Copula ◽  
Vine Copulas

Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries. The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to investigate the changing role of the Renminbi (RMB) in the ASEAN foreign exchange markets. The results indicate a positive dependence between the exchange rate returns of CNY and the currencies of ASEAN countries and show the rising power of RMB in the regional currency markets after the B&R Initiative was launched. Besides this, the Malaysian Ringgit proved to be most relevant to the other ASEAN currencies, thus playing an important role in the stability of regional financial markets. Moreover, evidence of tail dependence was found in the returns of three currency pairs after the B&R Initiative, which implies the presence of asymmetric dependence between exchange rates. The results from time-varying C-vine copulas further confirmed the robustness of the results from the static C-vine copulas.

scholarly journals ESTIMASI VALUE AT RISK PORTOFOLIO SAHAM MENGGUNAKAN METODE GARCH-COPULA (Studi Kasus : Harga Penutupan Saham Harian Unilever Indonesia dan Kimia Farma Periode 1 Januari 2013- 31 Desember 2016)

2018 ◽  
Vol 7 (4) ◽  
pp. 397-407
Author(s):  
Lingga Bayu Prasetya ◽  
Dwi Ispriyanti ◽  
Alan Prahutama
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Tail Dependence ◽  
Conditional Heteroscedasticity ◽  
Mutual Correlation ◽  
Copula Method ◽  
Stock Portfolio ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Return Value ◽  
Return Data

Any investment in the stock market will earn returns accompanied by risks. Return and risk has a mutual correlation that equilibrium. The formation of a portfolio is intended to provide a lower risk or with the same risk but provide a higher return. Value at Risk (VaR) is a instrument to analyze risk management. Time series model used in stock return data that it has not normal distribution and heteroscedastisicity is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). GARCH-Copula is a combined method of GARCH and Copula. The Copula method is used in joint distribution modeling because it does not require the assumption of normality of the data and can capture tail dependence between each variable. This research uses return data from stock closing prices of Unilever Indonesia and Kimia Farma period January 1, 2013 until December 31, 2016. Copula model is selected based on the highest likelihood log value is Copula Clayton. Value at Risk estimates of Unilever Indonesia and Kimia Farma's stock portfolio on the same weight were performed using Monte Carlo simulation with backtesting of 30 days period data at 95% confidence level. Keywords : Stock, Risk, Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Copula, Value at Risk

scholarly journals Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns

2016 ◽  
Vol 33 (3) ◽  
Author(s):  
Matthias Fischer
Keyword(s):  
Scale Parameter ◽  
Asset Returns ◽  
Financial Return ◽  
Hyperbolic Distribution ◽  
Skewness Parameter ◽  
Return Data

A generalization of the hyperbolic secant distribution which allows for both skewness and leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties are preserved. We briefly reviewthis class of distributions and apply them to financial return data. By means of the Nikkei225 data, it will be shown that this class of distributions, the socalled skew generalized secant hyperbolic distribution, provides an excellent fit in the context of unconditional and conditional return models.

scholarly journals Tail dependence functions and vine copulas

2010 ◽  
Vol 101 (1) ◽  
pp. 252-270 ◽  
Author(s):  
Harry Joe ◽  
Haijun Li ◽  
Aristidis K. Nikoloulopoulos
Keyword(s):  
Tail Dependence ◽  
Vine Copulas

scholarly journals A geometric investigation into the tail dependence of vine copulas

2021 ◽  
Vol 184 ◽  
pp. 104736
Author(s):  
Emma S. Simpson ◽  
Jennifer L. Wadsworth ◽  
Jonathan A. Tawn
Keyword(s):  
Tail Dependence ◽  
Vine Copulas

scholarly journals Nonparametric estimation of simplified vine copula models: comparison of methods

2017 ◽  
Vol 5 (1) ◽  
pp. 99-120 ◽  
Author(s):  
Thomas Nagler ◽  
Christian Schellhase ◽  
Claudia Czado
Keyword(s):  
Nonparametric Estimation ◽  
Tail Dependence ◽  
Real Data ◽  
Parametric Models ◽  
Copula Models ◽  
Data Application ◽  
Models Comparison ◽  
Vine Copula ◽  
Bivariate Copula ◽  
Vine Copulas

AbstractIn the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models, several approaches to nonparametric estimation of vine copulas have been proposed. In this article, we extend these approaches and compare them in an extensive simulation study and a real data application. We identify several factors driving the relative performance of the estimators. The most important one is the strength of dependence. No method was found to be uniformly better than all others. Overall, the kernel estimators performed best, but do worse than penalized B-spline estimators when there is weak dependence and no tail dependence.

Fertiliser evenness - losses and costs: A study on the economic benefits of uniform applications of fertiliser

1999 ◽  
pp. 215-220 ◽  
Author(s):  
R. Horrell ◽  
A.K. Metherell ◽  
S. Ford ◽  
C. Doscher
Keyword(s):  
Crop Yields ◽  
Cumulative Effect ◽  
Economic Loss ◽  
Economic Benefits ◽  
Significant Loss ◽  
Economic Losses ◽  
Financial Return ◽  
Spread Pattern ◽  
Fertiliser Application ◽  
Seed Crops

Over two million tonnes of fertiliser are applied to New Zealand pastures and crops annually and there is an increasing desire by farmers to ensure that the best possible economic return is gained from this investment. Spreading distribution measurements undertaken by Lincoln Ventures Ltd (LVL) have identified large variations in the evenness of fertiliser application by spreading machines which could lead to a failure to achieve optimum potential in some crop yields and to significant associated economic losses. To quantify these losses, a study was undertaken to calculate the effect of uneven fertiliser application on crop yield. From LVL's spreader database, spread patterns from many machines were categorised by spread pattern type and by coefficient of variation (CV). These patterns were then used to calculate yield losses when they were combined with the response data from five representative cropping and pastoral situations. Nitrogen fertiliser on ryegrass seed crops shows significant production losses at a spread pattern CV between 30% and 40%. For P and S on pasture, the cumulative effect of uneven spreading accrues, until there is significant economic loss occurring by year 3 for both the Waikato dairy and Southland sheep and beef systems at CV values between 30% and 40%. For nitrogen on pasture, significant loss in a dairy system occurs at a CV of approximately 40% whereas for a sheep and beef system it is at a CV of 50%, where the financial return from nitrogen application has been calculated at the average gross revenue of the farming system. The conclusion of this study is that the current Spreadmark standards are a satisfactory basis for defining the evenness requirements of fertiliser applications in most circumstances. On the basis of Spreadmark testing to date, more than 50% of the national commercial spreading fleet fails to meet the standard for nitrogenous fertilisers and 40% fails to meet the standard for phosphatic fertilisers.Keywords: aerial spreading, crop response, economic loss, fertiliser, ground spreading, striping, uneven application, uneven spreading, yield loss

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