scholarly journals Dynamic Conditional Dependence for Turkey Earthquake Data: CD Vine Copula Approach

2021 ◽  
Author(s):  
Ayse KARAKAŞ ◽  
Aslıhan DEMİR ◽  
Sinan ÇALİK
Keyword(s):  
Conditional Dependence ◽  
Copula Approach ◽  
Vine Copula ◽  
Earthquake Data

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 Financial stress relationships among Euro area countries: an R-vine copula approach

2018 ◽  
Vol 24 (17) ◽  
pp. 1587-1608 ◽  
Author(s):  
Dalu Zhang ◽  
Meilan Yan ◽  
Andreas Tsopanakis
Keyword(s):  
Euro Area ◽  
Financial Stress ◽  
Copula Approach ◽  
Vine Copula

scholarly journals The Relationship between Economic Growth, Small and Medium Enterprises and the Number of Employees in Malaysia using Vine Copula Approach

2021 ◽  
Vol 50 (8) ◽  
pp. 2455-2468
Author(s):  
Mazmira Adan ◽  
Saiful Izzuan Hussain
Keyword(s):  
Economic Growth ◽  
Small And Medium Enterprises ◽  
Value Added ◽  
Data Sets ◽  
Strong Positive Correlation ◽  
Copula Approach ◽  
Vine Copula ◽  
Medium Enterprises ◽  
The Relationship ◽  
Vine Copulas

This paper investigates the dynamic linkages of dependency between economic growth, the development of small and medium enterprises (SMEs) in Malaysia represented by SMEs’ value-added, and the number of employees in Malaysia, shown by the total number of SMEs’ employees in Malaysia as an additional variable. A vine copula methods was used to assess the linkage between these three variables by utilizing the panel data sets from 1998-2017. The results confirmed that dependency modeling, using vine copulas, is useful for high dimensional distributions of binding affinity between these variables. Vine copulas provide a versatile and flexible approach to the study. The results show that there is a strong positive correlation among the variables. The dependence between the SMEs’ growth and the total number of employees is the strongest, followed by the dependence between SMEs’ growth and economic growth. This study also found that the interrelation among the variables and reliance structure is also influenced by the country’s economic system and situation.

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