Browsing School of Pure and Applied Sciences by Subject "Copula"

Now showing items 1-2 of 2

    • Conditional Dependence Modellingwith Regular Vine Copulas 

      Omari, Cyprian; Mwita, Peter; Waititu, Anthony (Journal of Statistical and Econometric Methods, 2019)
      Modelling sophisticated high-dimensional dependence structures forfinancial assets in a portfolio framework require flexible dependencemodels. In this paper, a regular vine-copula based model is employed toanalyze financial ...

    • Estimating Dependence Structure and Risk of Financial Market Crash 

      Ayorinde, Ogunyiola J.; Mwita, Peter N.; Njenga, Carolyn N. (Canadian Center of Science and Education, 2016-10)
      In this paper, we estimate the dependence structure between international stock markets using copulas. Different relationships that exist in normal and extreme periods were estimated using Clayton copula. The Inference ...