This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modeled by and joint distributions multivariate standardized innovations characterized parametric copulas with nonparametric marginal distributions. The extend those Chen Fan (2006) to allow for conditional means volatilities, estimated via method sieves. fitted residuals t...

Generative moment matching networks (GMMNs) are introduced as dependence models for the joint innovation distribution of multivariate time series (MTS). Following popular copula–GARCH approach modeling dependent MTS data, a framework based on GMMN–GARCH is presented. First, ARMA–GARCH utilized to capture serial within each univariate marginal series. Second, if number large, principal component...

We introduce a general approach which unifies some previous attempts for modeling the dynamic of multivariate time series or regression analysis when data are mixed type (binary/count/continuous). Our is quite flexible since conditionally on past values, each coordinate at t can have distribution compatible with standard univariate model such as GARCH, ARMA, INGARCH logistic models whereas valu...

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

Taking daily return of international crude oil spot and futures as sample, this paper analyzed the time varying and asymmetric dependence structure of them by time varying Copula-GARCH model based on sliding window and semi parameter estimation. This paper analyzed the regular changing between dependence structure of crude oil spot and futures and the return fluctuation, and confirmed that ther...

In this note, we examine the impact of non linear reward and risk measures on portfolio selection. In particular, we compare the ex-post …nal wealth sample paths of strategies based on the Sharpe ratio and strategies based on non-linear reward/risk measures. As suggested by the recent literature, we model dependencies with an asymmetric t copula estimated on the innovations of the marginals tha...

In this paper, we propose a methodology to value the portfolio choices based on the prediction of future returns where the dependence structure of joint returns and the behavior of single returns are estimated separately. In particular, we assume the marginals evolve as an ARMA(0,2)-GARCH(0,2) model with stable paretian residuals and the joint distribution of residuals is estimated with an asym...

We investigate the volatility dynamics of commodity price and dependence structure between prices output growth in G7 EM7 economies using a semiparametric GARCH-in-Mean copula approach. show that for economies, symmetric weak tail exists outputs France, Germany, Japan. For lower is observed Brazil, Indonesia. No statistically significant found rest economies.