Risk estimation in exchange rate markets based on stochastic copula approach

DOI10.1155/2022/8467691zbMath1499.62392OpenAlexW4297991262MaRDI QIDQ2088435

Mehmet Ali Cengiz, E. Alper Yıldırım, Bünyamin Saribacak, Erol Terzi

Publication date: 21 October 2022

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/8467691

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• Dependence and risk spillover among hedging assets: evidence from Bitcoin, gold, and USD
• Dependence structures for multivariate high-frequency data in finance
• Modeling dependency between industry production and energy market via stochastic copula approach

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