Application of Vine Copula in Multi-market Dependence Research

DOI

10.2991/msmee-17.2017.275How to use a DOI?

Keywords

Vine Copula; Value at Risk; Risk Measure; Multi-market; Dependence.

Abstract

This paper forecasted VaR for multi-market assets (serval kinds of energy assets, stock, gold and US Dollars) by using Vine-copula model. The findings of the research showed that the Vine Copula model displayed more flexibilities and efficiencies than the traditional Bivariate Copula model in characterizing dependencies between multi assets, and R-Vine Copula model proved the best accuracy compared with the C-Vine and D-Vine Copula model.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xiaohe She
AU  - Jingfang Wu
PY  - 2017/05
DA  - 2017/05
TI  - Application of Vine Copula in Multi-market Dependence Research
BT  - Proceedings of the 2017 2nd International Conference on Materials Science, Machinery and Energy Engineering (MSMEE 2017)
PB  - Atlantis Press
SP  - 1527
EP  - 1533
SN  - 2352-5401
UR  - https://doi.org/10.2991/msmee-17.2017.275
DO  - 10.2991/msmee-17.2017.275
ID  - She2017/05
ER  -