Vine copulas structures modeling on Russian stock market
Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in efficient way, but is usually applied to pair...
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| Format: | Article |
| Language: | English |
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Peoples’ Friendship University of Russia (RUDN University)
2019-12-01
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| Series: | Discrete and Continuous Models and Applied Computational Science |
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| Online Access: | http://journals.rudn.ru/miph/article/viewFile/22916/17810 |
| _version_ | 1811245787299971072 |
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| author | Eugeny Yu. Shchetinin |
| author_facet | Eugeny Yu. Shchetinin |
| author_sort | Eugeny Yu. Shchetinin |
| collection | DOAJ |
| description | Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in efficient way, but is usually applied to pairs of securities. In contrast, vine copulas provide greater flexibility and permit the modeling of complex dependency patterns using the rich variety of bivariate copulas which may be arranged and analysed in a tree structure. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making model selection a major challenge in development. So, to learn the best possible model, one has to identify the best possible structure, which necessitates identifying the connections between the variables and selecting between the multiple bivariate copulas for each pair in the structure. This paper features the use of regular vine copulas in analysis of the co-dependencies of four major Russian Stock Market securities such as Gazprom, Sberbank, Rosneft and FGC UES, represented by the RTS index. For these stocks the D-vine structures of bivariate copulas were constructed, which models are described by Gumbel, Student, BB1and BB7 copulas, and estimates of their parameters were obtained. Computer simulations showed a high accuracy of the approximation of the explored data by D-vine structure of bivariate copulas and the effectiveness of our approach in general. |
| first_indexed | 2024-04-12T14:44:23Z |
| format | Article |
| id | doaj.art-7e1361aeab204d188ff4c6a85d8a76b9 |
| institution | Directory Open Access Journal |
| issn | 2658-4670 2658-7149 |
| language | English |
| last_indexed | 2024-04-12T14:44:23Z |
| publishDate | 2019-12-01 |
| publisher | Peoples’ Friendship University of Russia (RUDN University) |
| record_format | Article |
| series | Discrete and Continuous Models and Applied Computational Science |
| spelling | doaj.art-7e1361aeab204d188ff4c6a85d8a76b92022-12-22T03:28:43ZengPeoples’ Friendship University of Russia (RUDN University)Discrete and Continuous Models and Applied Computational Science2658-46702658-71492019-12-0127434335410.22363/2658-4670-2019-27-4-343-35418479Vine copulas structures modeling on Russian stock marketEugeny Yu. Shchetinin0Financial University under the Government of Russian FederationPair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in efficient way, but is usually applied to pairs of securities. In contrast, vine copulas provide greater flexibility and permit the modeling of complex dependency patterns using the rich variety of bivariate copulas which may be arranged and analysed in a tree structure. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making model selection a major challenge in development. So, to learn the best possible model, one has to identify the best possible structure, which necessitates identifying the connections between the variables and selecting between the multiple bivariate copulas for each pair in the structure. This paper features the use of regular vine copulas in analysis of the co-dependencies of four major Russian Stock Market securities such as Gazprom, Sberbank, Rosneft and FGC UES, represented by the RTS index. For these stocks the D-vine structures of bivariate copulas were constructed, which models are described by Gumbel, Student, BB1and BB7 copulas, and estimates of their parameters were obtained. Computer simulations showed a high accuracy of the approximation of the explored data by D-vine structure of bivariate copulas and the effectiveness of our approach in general.http://journals.rudn.ru/miph/article/viewFile/22916/17810copulamultivariate modelsdependence structurevinessecurities |
| spellingShingle | Eugeny Yu. Shchetinin Vine copulas structures modeling on Russian stock market Discrete and Continuous Models and Applied Computational Science copula multivariate models dependence structure vines securities |
| title | Vine copulas structures modeling on Russian stock market |
| title_full | Vine copulas structures modeling on Russian stock market |
| title_fullStr | Vine copulas structures modeling on Russian stock market |
| title_full_unstemmed | Vine copulas structures modeling on Russian stock market |
| title_short | Vine copulas structures modeling on Russian stock market |
| title_sort | vine copulas structures modeling on russian stock market |
| topic | copula multivariate models dependence structure vines securities |
| url | http://journals.rudn.ru/miph/article/viewFile/22916/17810 |
| work_keys_str_mv | AT eugenyyushchetinin vinecopulasstructuresmodelingonrussianstockmarket |