A Time-Varying Vine Copula Model for Dependence Analysis of Failure System

2018 ◽  
Author(s):  
Dan Xu ◽  
Jinshuai Yuan ◽  
Mengli Xing
Keyword(s):  
Copula Model ◽  
Dependence Analysis ◽  
Time Varying ◽  
Vine Copula

scholarly journals A Time-Varying Multivariate Noncentral Contaminated Normal Copula Model and Its Application to the Visualized Dependence Analysis of Hong Kong Stock Markets

2020 ◽  
Vol 2020 ◽  
pp. 1-23
Author(s):  
Zhenyu Xiao ◽  
Jie Wang ◽  
Teng Yuan Cheng ◽  
Kuiran Shi
Keyword(s):  
Hong Kong ◽  
Financial Market ◽  
Stock Markets ◽  
Financial Data ◽  
Copula Model ◽  
Dependence Analysis ◽  
Time Varying ◽  
Conditional Correlation ◽  
Normal Copula ◽  
Dependence Structures

Financial data usually have the features of complexity and interdependence structure, such as asymmetric, tail, and time-varying dependence. This study constructs a new multivariate skewed fat-tailed copula, namely, noncentral contaminated normal (NCCN) copula, to analyze the dependent structure of financial market data. The dynamic conditional correlation (DCC) model is also incorporated into constructing the time-varying NCCN copula model. This study comprehensively examines the effects of the DCC-NCCN copula and related models on fitting dependence structures of Hong Kong stock markets. The results show that the DCC-NCCN copula model can better depict the dependence structures of returns. Considering the flexibility and complexity, the DCC-NCCN copula model is a relatively ideal, time-varying, multivariate skewed fat-tailed copula model.

scholarly journals Research on the Dependence Structure and Risk Spillover of Internet Money Funds Based on C-Vine Copula and Time-Varying t-Copula

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Huizi Ma ◽  
Lin Lin ◽  
Han Sun ◽  
Yue Qu
Keyword(s):  
Spillover Effect ◽  
Spillover Effects ◽  
Dependence Structure ◽  
Copula Model ◽  
Time Varying ◽  
Financial Products ◽  
T Copula ◽  
Dependence Relationship ◽  
Vine Copula ◽  
Risk Spillover Effects

Internet money funds (IMFs) are the most widely involved products in the Internet financial products market. This research utilized the C-vine copula model to study the risk dependence structure of IMFs and then introduces the time-varying t-copula model to analyze the risk spillover of diverse IMFs. The results show the following: (1) The risks of Internet-based IMFs, bank-based IMFs, and fund-based IMFs have obvious dependence structure, and the degree of risk dependence among different categories of IMFs is significantly different. (2) There are risk spillover effects among diverse IMFs, and their risk dependence relationship is characterized by cyclical feature. (3) The risk spillover effect among diverse IMFs is pronounced, and dynamic risk dependence between IMFs is characterized by synchronization.

A multivariate volatility vine copula model

2016 ◽  
Vol 37 (4) ◽  
pp. 281-308 ◽  
Author(s):  
E. C. Brechmann ◽  
M. Heiden ◽  
Y. Okhrin
Keyword(s):  
Copula Model ◽  
Vine Copula ◽  
Multivariate Volatility

scholarly journals Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH

2015 ◽  
Vol 8 (1) ◽  
pp. 463-467
Author(s):  
He Xin ◽  
Zhang Jun
Keyword(s):  
Parameter Estimation ◽  
Crude Oil ◽  
Significant Influence ◽  
Tail Dependence ◽  
Sliding Window ◽  
Dependence Structure ◽  
Dependence Analysis ◽  
Time Varying ◽  
Daily Return ◽  
Asymmetric Dependence

Taking daily return of international crude oil spot and futures as sample, this paper analyzed the time varying and asymmetric dependence structure of them by time varying Copula-GARCH model based on sliding window and semi parameter estimation. This paper analyzed the regular changing between dependence structure of crude oil spot and futures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This paper found that the size of the sliding window had no significant influence on the conclusion, and the data of weekly return is more suitable for analysis of the trend of dependence structure of spot.

Sign in / Sign up

Export Citation Format

Share Document