Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

2022 ◽  
Author(s):  
Avik Sinha ◽  
Arshian Sharif ◽  
Arnab Adhikari ◽  
Ankit Sharma
Keyword(s):  
Financial Market ◽  
Dependence Structure

scholarly journals Calibrating and Simulating Copula Functions in Financial Applications

2021 ◽  
Vol 7 ◽  
Author(s):  
Annalisa Di Clemente ◽  
Claudio Romano
Keyword(s):  
Financial Market ◽  
Asset Returns ◽  
Copula Function ◽  
Dependence Structure ◽  
Financial Asset ◽  
Financial Assets ◽  
Copula Functions ◽  
Financial Applications ◽  
Different Types ◽  
Financial Asset Returns

Copula functions can be utilized in financial applications to determine the dependence structure of the financial asset returns in the portfolio. Empirical evidence has proved the inadequacy of the multi-normal distribution, traditionally adopted to model the financial asset returns distribution. Copula functions can be employed in a flexible way for building efficient algorithms and to simulate a more adequate distribution of the financial assets. This paper aims to describe some simple statistical procedures currently employed to calibrate the copula functions to the financial market data. Furthermore, we present some useful methods for choosing which copula function better fits the real financial data. Also, some algorithms to simulate random variates from certain types of copula functions are illustrated. Finally, for illustration purposes, the previous procedures described are applied to two Italian equities. In particular, we show how to generate efficient Monte Carlo scenarios of equity log-returns in the bivariate case using different types of copula functions.

scholarly journals Estimating Dependence Structure and Risk of Financial Market Crash

2016 ◽  
Vol 5 (6) ◽  
pp. 85
Author(s):  
Ogunyiola Ayorinde Joshua ◽  
Peter N. Mwita ◽  
Carolyn N. Njenga
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
Financial Market ◽  
Value At Risk ◽  
Investment Decisions ◽  
Market Value ◽  
Dependence Structure ◽  
Clayton Copula ◽  
International Stock Markets ◽  
Copula Parameter

 In this paper, we estimate the dependence structure between international stock markets using copulas. Different relationships that exist in normal and extreme periods were estimated using Clayton copula.  The Inference Functions for Margins method was used in estimating the clayton copula parameter thereby obtaining dependence estimates used in estimating Value-at-Risk. Extreme events are likely to alter the dependence structure of financial markets.This could have implications for investment decisions and ability to estimate the risk of financial markets crash. Results reveal that during the crisis period (2007-2009), maximum possible loss of market value is 75.9% and 77.6% with a confidence interval of 90% for the Kenya-Nigeria and Kenya-South Africa portfolios respectively. This implies that the Kenya-South Africa portfolio has the highest risk.

External Factors of Big Business Transformation in Russia

2005 ◽  
pp. 72-89 ◽  
Author(s):  
Ya. Pappe ◽  
Ya. Galukhina
Keyword(s):  
Financial Market ◽  
Capital Market ◽  
Business Groups ◽  
External Factors ◽  
Big Business ◽  
Business Transformation ◽  
Global Standards ◽  
The World ◽  
Principal Subject

The paper is devoted to the role of the global financial market in the development of Russian big business. It proves that terms and standards posed by this market as well as opportunities it offers determine major changes in Russian big business in the last three years. The article examines why Russian companies go abroad to attract capital and provides data, which indicate the scope of this phenomenon. It stresses the effects of Russian big business’s interaction with the world capital market, including the modification of the principal subject of Russian big business from integrated business groups to companies and the changes in companies’ behavior: they gradually move away from the so-called Russian specifics and adopt global standards.

Russian Banking Sector under World Financial Market Uncertainty: Problems and Prospects

2008 ◽  
pp. 4-19 ◽  
Author(s):  
A. Ulyukaev ◽  
E. Danilova
Keyword(s):  
Emerging Markets ◽  
Financial Market ◽  
Banking Sector ◽  
Financial System ◽  
Local Market ◽  
Market Uncertainty ◽  
Balanced Growth ◽  
Banking Sector Development ◽  
The World ◽  
The Usa

The authors point out that the local market crisis - on the USA substandard loan market - has led to the uncertainty of the world financial market. It has caused the growing demand for liquidity in the framework of the world financial system. The Russian banking sector seems to be more stable under negative changes than banking systems of other emerging markets. At the same time one can assume that the crisis will become the factor of qualitative shift in the character of the Russian banking sector development - the shift from impetuous to more balanced growth.

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