We employ and examine vine copulas in modeling symmetric asymmetric dependency structures forecasting financial returns from 2001 to 2022, a period that includes the 2008 crisis, 2011 European sovereign debt 2020 COVID-19 pandemic 2022 Russian invasion of Ukraine with resulting energy crisis. analyze asset allocations performed test different portfolio strategies, such as maximum Sharpe ratio, ...

‎One of the most useful tools for handling multivariate distributions of dependent variables in terms of their marginal distribution is a copula function‎. ‎The copula families capture a fair amount of attention due to their applicability and flexibility in describing the non-Gaussian spatial dependent data‎. ‎The particular properties of the spatial copula are rarely ...

In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 ðMTP2Þ and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Arch...

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed. r 2007 Elsevier B.V. All rights reserved.

Recently, it has been reported that the hypothesis proposed by classical black scholes model to price multivariate options in finance were unrealistic, as such, several other methods have introduced over last decades including copulas which uses functions dependence structure of underlying assets. However, previous work did not take into account use mixed assess assets' structure. The approach ...

This module introduces the maximum likelihood estimator. We show how the MLE implements the likelihood principle. Methods for computing th MLE are covered. Properties of the MLE are discussed including asymptotic e ciency and invariance under reparameterization. The maximum likelihood estimator (MLE) is an alternative to the minimum variance unbiased estimator (MVUE). For many estimation proble...