Essays about: "copula model"

Showing result 1 - 5 of 30 essays containing the words copula model.


    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

  2. 2. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

    University essay from KTH/Matematisk statistik

    Author : Rasmus Guterstam; Vidar Trojenborg; [2021]
    Keywords : Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

    Abstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE

  3. 3. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Than Trang; [2021]
    Keywords : Copula-GARCH 1; 1 ;

    Abstract : The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). READ MORE

  4. 4. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

    University essay from Lunds universitet/Matematisk statistik

    Author : Lionel Arpin-Pont; [2020]
    Keywords : Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

    Abstract : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. READ MORE

  5. 5. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE