مجلة الإقتصاد الجديد
Volume 12, Numéro 3, Pages 752-771
2021-08-02
Vine Copula: The New Approach For Modeling High Dimensional Dependencies -application To Financial Data-
Authors : Hamadouche Bekhta . Ben Anaya Djelloul .
Abstract
A popular approach to build a High-dimensional dependence is based on copulas and vine copulas. The aim of this work is: the construction of several structures of dependence of a set of stock market indices via vine copulas for risk management. For this, we took as data four stock market indices, namely the cac40, dawJones, Nikkei225, FTSE100. Each series was modeled separately using the ARMA-GARCH models then we switched to multiple modeling via vine copula. The structure of the vine was identified using Kendall's τ Copulas ; vine copula ; dependency structure ; stock market indices.
Keywords
Copulas ; vine copula ; dependency structure ; stock market indices.
Les articles similaires
Benahmed Djilali Adiba
.
Benseddik Abdelouahab
.
Boughellout Halima
.
Allaf Karim
.
Nabiev Mohamed
.
pages 43-52.
Lahlali H.
.
Mdarhri A.
.
El Haouzi F.
.
El Aboudi I.
.
El Azhari M.
.
Lame O.
.
Fabregue D.
.
Bonnefont Guillaume
.
pages 5-8.
Bentahar Mohammed
.
Benzaama Habib
.
pages 18-24.
Redouani Locif
.
Khilouf Sarra
.
Laidi Rebah
.
Alem Said
.
pages 267-275.
