There is strong empirical evidence that dependence in multivariate financial time series varies over time. To incorporate this effect we suggest a time varying copula class, which allows for stochastic autoregressive (SCAR) copula time dependence. For this we introduce latent variables which are analytically related to Kendall’s τ , specifically we introduce latent variables that are the Fisher...

Purpose The authors apply their method to analyze which portfolios are capable of providing superior performance those based on the Sharpe ratio (SR). Design/methodology/approach In this paper illustrate use conditional copulas for identifying differences in alternative portfolio strategies. SR. Findings results show that under Gaussian copula, both expected tail (ETR) and skewness-kurtosis exh...

In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and t...

Climate change impacts many aspects of life and requires innovative thinking on various issues. The electricity sector is affected in several ways, including changes the production components consumption patterns. One most important issues for Independent System Operators, a state-controlled organization responsible ensuring reliability, availability, quality delivery country, response to clima...

In this study, we introduce a mixed copula-based vector autoregressive (VAR) model for investigating the relationship between random variables. The one-step maximum likelihood estimation is used to obtain point estimates of parameters and copula parameters. More specifically, combine likelihoods marginal construct full function. simulation study confirm accuracy as well reliability proposed mod...

Investasi merupakan penanaman uang atau modal dalam suatu perusahaan proyek guna memperoleh keuntungan. Diantara sekian banyak sekuritas yang ada, saham menjadi mengalami kenaikan jumlah investor secara signifikan karena dapat memberikan keuntungan cukup besar. Dibalik besar, terdapat risiko harus dihadapi oleh investor. Sehingga, perlu menerapkan strategi meminimalkan serta mengukur pada porto...

The characteristic of copula is non strict on certain distribution assumptions, can explain nonlinier relationship, and easily construct through the marginals that do not need to come from same family. Copula will be useful for stock data has price charts fluctuate rapidly risk always follow in investing. relation between this study calculate value portfolio using VaR with generation Monte Carl...

A copula-based Markov chain model can flexibly capture serial dependence in a time series. However, the computational developments for models remain insufficient discrete marginal compared with continuous ones. In this article, we develop methods binomial series under Clayton and Joe copulas. The include data-generation, parameter estimation, selection, goodness-of-fit tests. We implement our R...

Lévy copulas are an important tool which can be used to build dependent processes. In a classical setting, they have been model financial applications. Bayesian framework employed introduce nonparametric priors allow heterogeneous data. This paper focuses on introducing new class of based subordinators recently appeared in the literature, called compound random measures. The well-known Clayton ...