Copula correlation analysis and risk measurement based on time-varying

DOI10.13338/J.ISSN.1006-8341.2019.01.019MaRDI QIDQ5198260zbMATH OpenFDO

Authors Kaili Xue, Jun-Xiang Lu

Publication date 2 October 2019

zbMATH Keywords

copulaleverage effectrisk measurementcorrelation analysisVaR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Risk models (general) (91B05)

Recommendations

• Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian copulas and \(t\)-copulas
• Time-varying joint distribution through copulas
• Archimedean copulae for risk measurement
• Assessing dependence between financial market indexes using conditional time-varying copulas: applications to value at risk (VaR)
• Multivariate time-varying G-H copula GARCH model and its application in the financial market risk measurement

Cited in

(4)

• Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian copulas and \(t\)-copulas
• The research on sequence of daily return correlation between Shanghai-Shenzhen stock indexes based on copula function
• Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
• Copula entropy method for measuring correlation in financial risk

This page was built for publication: Copula correlation analysis and risk measurement based on time-varying

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5198260)