Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach

2015 ◽  
Vol 24 (3) ◽  
pp. 763-786 ◽  
Author(s):  
Henryk Gurgul ◽  
Artur Machno
Keyword(s):  
Regime Switching ◽  
Dependence Structure ◽  
Copula Approach ◽  
Asian Pacific ◽  
Vine Copula ◽  
European Markets

scholarly journals Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

2019 ◽  
Vol 11 (19) ◽  
pp. 5487 ◽  
Author(s):  
Liu ◽  
Wang ◽  
Sriboonchitta
Keyword(s):  
Exchange Rates ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Positive Dependence ◽  
Asymmetric Dependence ◽  
Before And After ◽  
Copula Approach ◽  
Asean Countries ◽  
Vine Copula ◽  
Vine Copulas

Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries. The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to investigate the changing role of the Renminbi (RMB) in the ASEAN foreign exchange markets. The results indicate a positive dependence between the exchange rate returns of CNY and the currencies of ASEAN countries and show the rising power of RMB in the regional currency markets after the B&R Initiative was launched. Besides this, the Malaysian Ringgit proved to be most relevant to the other ASEAN currencies, thus playing an important role in the stability of regional financial markets. Moreover, evidence of tail dependence was found in the returns of three currency pairs after the B&R Initiative, which implies the presence of asymmetric dependence between exchange rates. The results from time-varying C-vine copulas further confirmed the robustness of the results from the static C-vine copulas.

scholarly journals Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies

2015 ◽  
Vol 63 (4) ◽  
pp. 1287-1295 ◽  
Author(s):  
Václav Klepáč ◽  
David Hampel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Garch Model ◽  
Dependence Structure ◽  
Process Innovations ◽  
Out Of Sample ◽  
Copula Approach ◽  
Multivariate Probability Distribution ◽  
Vine Copula

The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014. Vine copula approach allows us to construct high-dimensional copula from both elliptical and Archimedean bivariate copulas, i.e. multivariate probability distribution, created from process innovations. Due to a deeper shortage of existing domestic results or comparison studies with advanced volatility governed VaR forecasts we backtested D-Vine copula ARMA-GARCH model against the VaR rolling out of sample forecast from October 2012 to April 2014 of chosen benchmark models, e.g. multivariate VAR-GO-GARCH, VAR-DCC-GARCH and univariate ARMA-GARCH type models. Common backtesting via Kupiec and Christoffersen procedures offer generalization that technological superiority of model supports accuracy only in case of an univariate modeling – working with non-basic GARCH models and innovations with leptokurtic distributions. Multivariate VAR governed type models and static Copula Vines performed in stated backtesting comparison worse than selected univariate ARMA-GARCH, i.e. it have overestimated the level of actual market risk, probably due to hardly tractable time-varying dependence structure.

Dependence structure between money and economic activity: A Markov-switching copula VEC approach

2021 ◽  
pp. 1-17
Author(s):  
Apostolos Serletis ◽  
Libo Xu
Keyword(s):  
Error Correction ◽  
Economic Activity ◽  
Regime Switching ◽  
Markov Switching ◽  
Tail Dependence ◽  
Error Correction Model ◽  
Dependence Structure ◽  
Copula Models ◽  
Correction Model ◽  
Dependence Structures

Abstract This paper examines correlation and dependence structures between money and the level of economic activity in the USA in the context of a Markov-switching copula vector error correction model. We use the error correction model to focus on the short-run dynamics between money and output while accounting for their long-run equilibrium relationship. We use the Markov regime-switching model to account for instabilities in the relationship between money and output, and also consider different copula models with different dependence structures to investigate (upper and lower) tail dependence.

scholarly journals Streamflow estimation at partially gaged sites using multiple dependence conditions via vine copulas

2020 ◽  
Author(s):  
Kuk-Hyun Ahn
Keyword(s):  
Missing Values ◽  
The Other ◽  
Dependence Structure ◽  
Proposed Model ◽  
Pee Dee ◽  
Streamflow Estimation ◽  
Vine Copula ◽  
Bivariate Copula ◽  
Pee Dee River ◽  
Vine Copulas

Abstract. Reliable estimates of missing streamflow values are relevant for water resources planning and management. This study proposes a multiple dependence condition model via vine copulas for the purpose of estimating streamflow at partially gaged sites. The proposed model is attractive in modeling the high dimensional joint distribution by building a hierarchy of conditional bivariate copulas when provided a complex streamflow gage network. The usefulness of the proposed model is firstly highlighted using a synthetic streamflow scenario. In this analysis, the bivariate copula model and a variant of the vine copulas are also employed to show the ability of the multiple dependence structure adopted in the proposed model. Furthermore, the evaluations are extended to a case study of 54 gages located within the Yadkin-Pee Dee River Basin, the eastern U. S. Both results inform that the proposed model is better suited for infilling missing values. After that, the performance of the vine copula is compared with six other infilling approaches to confirm its applicability. Results demonstrate that the proposed model produces more reliable streamflow estimates than the other approaches. In particular, when applied to partially gaged sites with sufficient available data, the proposed model clearly outperforms the other models. Even though the model is illustrated by a specific case, it can be extended to other regions with diverse hydro-climatological variables for the objective of infilling.

scholarly journals Dependence structure analysis of multisite river inflow data using vine copula-CEEMDAN based hybrid model

PeerJ ◽  
2020 ◽  
Vol 8 ◽  
pp. e10285
Author(s):  
Hafiza Mamona Nazir ◽  
Ijaz Hussain ◽  
Muhammad Faisal ◽  
Alaa Mohamd Shoukry ◽  
Mohammed Abdel Wahab Sharkawy ◽  
...  
Keyword(s):  
River Basin ◽  
Hybrid Model ◽  
Moving Average ◽  
Ensemble Empirical Mode Decomposition ◽  
Dependence Structure ◽  
Absolute Deviation ◽  
River Inflow ◽  
Multi Scale ◽  
Proposed Model ◽  
Vine Copula

Several data-driven and hybrid models are univariate and not considered the dependance structure of multivariate random variables, especially the multi-site river inflow data, which requires the joint distribution of the same river basin system. In this paper, we proposed a Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) Vine copula-based approach to address this issue. The proposed hybrid model comprised on two stages: In the first stage, the CEEMDAN is used to extract the high dimensional multi-scale features. Further, the multiple models are used to predict multi-scale components and residuals. In the second stage, the residuals obtained from the first stage are used to model the joint uncertainty of multi-site river inflow data by using Canonical Vine. For the application of the proposed two-step architecture, daily river inflow data of the Indus River Basin is used. The proposed two-stage methodology is compared with only the first stage proposed model, Vector Autoregressive and copula-based Autoregressive Integrated Moving Average models. The four evaluation measures, that is, Mean Absolute Relative Error (MARE), Mean Absolute Deviation (MAD), Nash-Sutcliffe Efficiency (NSE) and Mean Square Error (MSE), are used to observe the prediction performance. The results demonstrated that the proposed model outperforms significantly with minimum MARE, MAD, NSE, and MSE for two case studies having significant joint dependance. Therefore, it is concluded that the prediction can be improved by appropriately modeling the dependance structure of the multi-site river inflow data.

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