Copula Garch - Articles - Scientific Research Publishing

Modelling Dependence of Cryptocurrencies Using Copula Garch (Articles)

Eric M. Kimani, Anthony Ngunyi, Joseph K. Mungatu

Journal of Mathematical Finance Vol.13 No.3, August 24, 2023

DOI: 10.4236/jmf.2023.133020 348 Downloads 1,414 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,440 Downloads 3,566 Views Citations
Risk Spillover Effect and Trading Strategy between Carbon Emission Allowance and Carbon-Neutral Index (Articles)

Zedong Cai, Xuxia Liao, Ruiyang Shi

Open Journal of Social Sciences Vol.11 No.1, January 19, 2023

DOI: 10.4236/jss.2023.111012 272 Downloads 1,098 Views Citations
Dynamic Volatility Spillovers among Green Bonds, Green Stocks and Carbon Markets under the COVID-19: Evidence from China (Articles)

Siya Ye, Haomin Zhang, Qiao Lou

American Journal of Industrial and Business Management Vol.15 No.1, January 21, 2025

DOI: 10.4236/ajibm.2025.151004 159 Downloads 892 Views Citations
Analysis of the Dependence of Stock Risk Based on Copula Theory (Articles)

Qi Li, Guangming Deng, Xin Tan

Journal of Financial Risk Management Vol.8 No.4, November 28, 2019

DOI: 10.4236/jfrm.2019.84015 954 Downloads 2,281 Views Citations
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA) (Articles)

Adejumo Wahab Adewuyi

Journal of Mathematical Finance Vol.6 No.1, February 26, 2016

DOI: 10.4236/jmf.2016.61011 6,506 Downloads 11,445 Views Citations
Tail Dependence Study of SSE Composite Index and SZSE Component Index Based on the Copula (Articles)

Guohua Sun, Hongliu Su, Guoqiang Tang

Applied Mathematics Vol.4 No.7, July 11, 2013

DOI: 10.4236/am.2013.47145 4,818 Downloads 7,144 Views Citations
The Researches on Exchange Rate Risk of Chinese Commercial Banks Based on Copula-Garch Model (Articles)

Baoqian Wang, Tingting Cao, Shu Wang

Modern Economy Vol.5 No.5, May 23, 2014

DOI: 10.4236/me.2014.55051 4,891 Downloads 6,980 Views Citations
On the Application of Probabilistic Hydrometeorological Simulation of Soil Moisture across Different Stations in India (Articles)

Sarit Kumar Das, Rajib Maity

Journal of Geoscience and Environment Protection Vol.2 No.3, June 13, 2014

DOI: 10.4236/gep.2014.23021 5,597 Downloads 7,332 Views Citations
Wind Power System Risk Assessment Based on Fuzzy Clustering and Copula Function Modeling (Articles)

Mingshun Liu, Lijin Zhao, Liang Huang, Wenhao Han, Changhong Deng, Zhijun Long

Energy and Power Engineering Vol.9 No.4B, April 6, 2017

DOI: 10.4236/epe.2017.94B041 2,814 Downloads 3,947 Views Citations
Modeling Wind Energy Using Copula (Articles)

Zuhair Bahraoui, Fatima Bahraoui, M. Amin Bahraoui

Open Access Library Journal Vol.5 No.11, November 30, 2018

DOI: 10.4236/oalib.1104984 548 Downloads 1,824 Views Citations
A Class of Copulas Derived from Residual Implications and Its Applications (Articles)

Yihua Liang

Open Journal of Statistics Vol.15 No.2, March 31, 2025

DOI: 10.4236/ojs.2025.152008 114 Downloads 573 Views Citations
Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2, May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,893 Downloads 9,696 Views Citations
A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction (Articles)

Quang Thanh Tran, Zhihua Ma, Hengchao Li, Li Hao, Quang Khai Trinh

International Journal of Communications, Network and System Sciences Vol.8 No.4, April 2, 2015

DOI: 10.4236/ijcns.2015.84005 5,211 Downloads 7,467 Views Citations
A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks (Articles)

Baoqian Wang, Cheng Wang, Xikun Zhang

Modern Economy Vol.3 No.6, October 31, 2012

DOI: 10.4236/me.2012.36097 6,046 Downloads 9,439 Views Citations
Fitting the Nigeria Stock Market Return Series Using GARCH Models (Articles)

U. Usman, H. M. Auwal, M. A. Abdulmuhyi

Theoretical Economics Letters Vol.7 No.7, December 14, 2017

DOI: 10.4236/tel.2017.77147 1,163 Downloads 3,569 Views Citations
Measuring and Comparing the Value-at-Risk Using GARCH and CARR Models for CSI 300 Index (Articles)

Chunchou Wu

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86078 1,210 Downloads 5,808 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Growth and Volatility: An Analysis for the Brazilian Economy (Articles)

Elano Ferreira Arruda, Felipe de Sousa Bastos, Pablo Urano de Carvalho Castelar, Fernando Marques Mansilla, Antônio Clécio de Brito

Theoretical Economics Letters Vol.9 No.7, October 24, 2019

DOI: 10.4236/tel.2019.97165 874 Downloads 2,426 Views Citations
Exploring the Priced Factors in ICAPM in Japan (Articles)

Chikashi TSUJI

Modern Economy Vol.2 No.4, September 21, 2011

DOI: 10.4236/me.2011.24078 5,514 Downloads 10,084 Views Citations
Recurrent Support and Relevance Vector Machines Based Model with Application to Forecasting Volatility of Financial Returns (Articles)

Altaf Hossain, Mohammed Nasser

Journal of Intelligent Learning Systems and Applications Vol.3 No.4, November 29, 2011

DOI: 10.4236/jilsa.2011.34026 7,726 Downloads 13,816 Views Citations

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