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 companies can be grouped into ESG classes....

Copulas are a quite flexible and useful tool for modeling the dependence structure between two or more variables or components of bivariate and multivariate vectors, in particular, to predict losses in insurance and finance. In this article, we use the VineCopula package in R to study the...

This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many...

We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with applications to portfolio optimization problems. The proposed model considers the ambiguity set of portfolio return in which the marginal distributions and their copula are close...

This paper provides a framework for modeling the dependence structure in the foreign exchange market. We first employ generalized autoregressive heteroskedasticity models to estimate the marginal distributions of the exchange rates. The conditional copula is then applied to the marginal...

This study proposes a Bayesian approach for exact finite-sample inference of an instrument-free estimation method that builds upon joint estimation using copulas to deal with endogenous covariates. Although copula approaches with applications to handle regressor-endogeneity have been frequently...

This research aims to investigate the asset allocation performance of three different optimization methods commonly applied in the literature for a portfolio composed of univariate returns generated from Mixed and Elliptic copulas instead of historical data. As a result, returns of five equities...

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

This paper proposes a novel event-based simulation model for assessing the explicit demand response potential of electric vehicle (EV) charging networks. The model utilizes multivariate copulas in generation of realistic artificial charging events that retain the complex dependency structures...