A new time-varying optimal copula model identifying the dependence across markets

DOI10.1080/14697688.2016.1205208zbMath1406.62122OpenAlexW2479595243MaRDI QIDQ4555089

Bing-Yue Liu, Ying Fan, Qiang Ji

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1205208

zbMATH Keywords

tail dependenceco-movement across marketshalf-rotated copulastime-varying optimal copula approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites Work

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• Semiparametric estimation of Value at Risk
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application
• An economic evaluation of stock–bond return comovements with copula-based GARCH models

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