Despite the great success of the derivatives market, several concerns were expressed regarding the additional … volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration … of the KOSPI 200 index derivatives on cash market of Korea Stock Exchange (KSE). The KOSPI 200 index derivatives market …

employing the copula approach to statistical modelling, the joint behaviour of U and V can be parameterised thereby allowing the … copula approach are given: the first is algebraic (the Logistic-Exponential stochastic frontier model with margins bound by … the Fairlie-Gumbel-Morgenstern copula) and the second and third are empirically oriented, using data sets well-known in …

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are … characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal … simulate, and can be expressed as semiparametric regression transformation models. One advantage of this copula approach is to …