Modelling Dependencies of Stock Indices During Covid-19 Pandemic by Extreme-Value Copula

Modelling Dependencies of Stock Indices During Covid-19 Pandemic by Extreme-Value Copula

Quantifying dependence among variables is the core of all modelling efforts in financial models. In the recent years, copula was introduced to model the dependence structure among financial assets return, and its application developed fast. A large number of studies on copula have been performed, bu...

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Bibliographic Details
Main Authors: Retno Budiarti, Kumala Intansari, I Gusti Putu Purnaba, Fendy Septyanto
Format: Article
Language:English
Published: Universitas Muhammadiyah Mataram 2023-07-01
Series:JTAM (Jurnal Teori dan Aplikasi Matematika)
Subjects:
arma-garch
copula
extreme value copula
covid-19
composite index.
Online Access:http://journal.ummat.ac.id/index.php/jtam/article/view/15109

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