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Under the model, we develop a two-stage nonparametric copula control function approach (2sCOPE-np) for endogeneity correction without relying on instrumental variables.
In this analysis, we implemented a stochastic correlation model for Apple (AAPL), IBM, and General Electric (GE) using a Gaussian copula with an Ornstein-Uhlenbeck process.
Ekaterina Tomilina 2024-11-04 This package enables the user to quantify dependencies between mixed (continuous, discrete, binary) variables in the framework of a Gaussian copula model by estimating ...
Jondeau, E., & Rockinger, M. (2006). The Copula-GARCH Model of Conditional Dependencies An International Stock Market Application. Journal of International Money and Finance, 25, 827-853.
The link is established with a Gaussian copula – a statistical tool to model the co-dependency between two random variables. Its correlation parameter effectively regulates the level of leveraged ...
On the other hand, the copula-based model has a discernible effect on the estimated Value-at-Risk and Expected Shortfall for related counties. Additionally, for the different layers of the Standard ...
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