This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …), and we used the vine copula to model the co-movement between foreign exchange rates and equity indices and value at risk … findings show that the GJR-GARCH with Student's t-distribution, combined with a regular (R)-vine copula, outperforms the …

North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional value at risk methods to detail …

countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …