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Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model

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Cited by:

  1. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
  2. David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "Risk Measurement and Risk Modelling Using Applications of Vine Copulas," Sustainability, MDPI, vol. 9(10), pages 1-34, September.
  3. Bartels, Mariana & Ziegelmann, Flavio A., 2016. "Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 66-79.
  4. Arreola Hernandez, Jose, 2014. "Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization," Energy Economics, Elsevier, vol. 45(C), pages 528-536.
  5. Brechmann, Eike Christian & Schepsmeier, Ulf, 2013. "Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 52(i03).
  6. Jose Arreola Hernandez & Shawkat Hammoudeh & Duc Khuong Nguyen & Mazin A. M. Al Janabi & Juan Carlos Reboredo, 2017. "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," Applied Economics, Taylor & Francis Journals, vol. 49(25), pages 2409-2427, May.
  7. Satish Kumar & Aviral Kumar Tiwari & I. D. Raheem & Qiang Ji, 2020. "Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach," Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3055-3072, June.
  8. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
  9. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
  10. David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial dependence analysis: applications of vine copulas," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 403-435, November.
  11. Hanif, Waqas & Arreola Hernandez, Jose & Sadorsky, Perry & Yoon, Seong-Min, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  12. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.
  13. Jammazi, Rania & Tiwari, Aviral Kr. & Ferrer, Román & Moya, Pablo, 2015. "Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 74-93.
  14. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2020. "Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios," Annals of Operations Research, Springer, vol. 284(1), pages 165-197, January.
  15. David Walsh-Jones & Daniel Jones & Christoph Reisinger, 2014. "Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines," Papers 1411.4970, arXiv.org.
  16. Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
  17. Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018. "Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach," Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
  18. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
  19. Salaheddine El Adlouni, 2018. "Quantile regression C-vine copula model for spatial extremes," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 94(1), pages 299-317, October.
  20. Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
  21. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
  22. Bekiros, Stelios & Hernandez, Jose Arreola & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2015. "Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios," Resources Policy, Elsevier, vol. 46(P2), pages 1-11.
  23. Tófoli Paula V. & Ziegelmann Flávio A. & Candido Osvaldo & Valls Pereira Pedro L., 2019. "Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)," Journal of Time Series Econometrics, De Gruyter, vol. 11(2), pages 1-34, July.
  24. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  25. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
  26. Min, Aleksey & Czado, Claudia, 2014. "SCOMDY models based on pair-copula constructions with application to exchange rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 523-535.
  27. Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015. "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Documents de travail du Centre d'Economie de la Sorbonne 15090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  28. Hobæk Haff, Ingrid & Aas, Kjersti & Frigessi, Arnoldo & Lacal, Virginia, 2016. "Structure learning in Bayesian Networks using regular vines," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 186-208.
  29. Hans Manner & Olga Reznikova, 2012. "A Survey on Time-Varying Copulas: Specification, Simulations, and Application," Econometric Reviews, Taylor & Francis Journals, vol. 31(6), pages 654-687, November.
  30. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche 15-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  31. Brechmann Eike Christain & Czado Claudia, 2013. "Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 307-342, December.
  32. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
  33. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
  34. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
  35. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
  36. Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
  37. Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.
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