This paper examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a multivariate GARCH framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time varying ones which capture the time varying process of the linkage. The result shows sig...

In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, we use a univariate ARMA-GARCH model for each return series. We then fit a generalized Pareto distribution to the tails of the residuals to model the distributions of marginal residuals, followed b...

The demand for an accurate financial risk management involving larger numbers of assets is strong not only in view of the financial crisis of 2007-2009. Especially dependencies among assets have not been captured adequately. While standard multivariate copulas have added some flexibility, this flexibility is insufficient in higher dimensional applications. Vine copulas can fill this gap by bene...

This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also more recent wild segmentation (WBS) is considered. For consistency of estimators for location breakpoints as well number proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based on correlation for measuring the structure of dependency. Using a copula approach, we can model the di...

Stocks are one type of investment that promises return for investors but often carries a high risk. Value at Risk (VaR) is measuring tool can calculate the amount worst loss occurs in stock portfolio with certain level confidence and within time period. In general, financial data have volatility value, which causes residuals not normally distributed. ARCH/GARCH modoel used to solve heteroscedas...

In this paper, we examine various characteristics of both base and peak electricity spot prices their returns, investigate dependence structures, extreme co-movements, risk spillovers, integration relationships among the five major European markets, including France, Germany, Netherlands, Spain, UK. To do so, propose a new perspective by applying hybrid ARMA-GARCH, static dynamic copulas, state...