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Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study

Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - 2009

Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...

Persistent link: https://www.econbiz.de/10010335297

Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016

We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for … multivariate dependence structure of the vine copulas is time-varying, and we see that the share of copulas capable of modeling …

Persistent link: https://www.econbiz.de/10011557422

Dealing with endogeneity in threshold models using copulas: An illustration to the foreign trade multiplier

Christopulos, Dimitris K.; Tzavalis, Elias; McAdam, Peter - 2018

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...

Persistent link: https://www.econbiz.de/10011853324

From Classes to Copulas: Wages, Capital, and Top Incomes

Aaberge, Rolf; Atkinson, Anthony B.; Königs, Sebastian - 2018

Public debates about the rise in top income shares often focus on the growing dispersion in earnings and the soaring pay for top executives and financial-sector employees. But can the change in the marginal distribution of earnings on its own explain the rise in top income shares? Are top...

Persistent link: https://www.econbiz.de/10011873526

Expansion methods applied to distributions and risk measurement in financial markets

Marumo, Kohei - 2007

Obtaining the distribution of the profit and loss (PL) of a portfolio is a key problem in market risk measurement. However, existing methods, such as those based on the Normal distribution, and historical simulation methods, which use empirical distribution of risk factors, face difficulties in...

Persistent link: https://www.econbiz.de/10009437795

Essays on exponential series estimation and application of copulas in financial econometrics

Wu, Ximing (contributor) - 2008

This dissertation contains three essays. They are related to the exponential seriesestimation of copulas and the … application of parametric copulas in financialeconometrics. Chapter II proposes a multivariate exponential series estimator (ESE …

Persistent link: https://www.econbiz.de/10009464939

Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence

Said, Khalil; Qalli, Yassine EL; Fadlallah, Abdellali - In: Cogent Business & Management 10 (2023) 3, pp. 1-19

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Persistent link: https://www.econbiz.de/10014527542

Advanced Monte Carlo Methods with Applications in Finance

Chan, Joshua Chi Chun - 2010

The main objective of this thesis is to develop novel Monte Carlo techniques with emphasis on various applications in finance and economics, particularly in the fields of risk management and asset returns modeling. New stochastic algorithms are developed for rare-event probability estimation,...

Persistent link: https://www.econbiz.de/10009448656

Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation

Neier, Mark - 2009

is based on the correlations between the obligors using copulas. Using this probability of default, the price of a … can be observed how a downturn in the economy could affect CDOs. This thesis extends on the use of copulas to simulate the … correlation between obligors. Copulas allow for the creation of one joint distribution using a set of independent distributions …

Persistent link: https://www.econbiz.de/10009464055

Modelling dependent risks for insurer risk management: experimental studies with copulas

Wu, Mei Lan, Actuarial Studies, Australian School of … - 2007

The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of …) methods. Archimedean copulas are one of the most important classes of copulas that are widely used in both finance and … insurance for modelling dependent risks. However, simulating multivariate Archimedean copulas has always been a difficult task …

Persistent link: https://www.econbiz.de/10009484265