An application of Regular Vine copula in portfolio risk forecasting: evidence from Istanbul stock exchange

Özgür, Cemile; Sarikovanlik, Vedat

doi:10.3934/qfe.2021020

Cited by 5 publications

(1 citation statement)

References 45 publications

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“…The sample period is from January 1990 to October 2021. To reduce the error, firstly, the oil price p t is obtained by logarithmic processing [38]. Considering that the price in the financial market generally follows the random walk model, the following mean equation is established for the international oil price (p t ):…”

Section: Measurement Of Crude Oil Price Fluctuationmentioning

confidence: 99%

Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity

et al. 2022

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A large number of studies have confirmed that oil speculation has played a vital role in oil price fluctuation in recent years. However, the heterogeneous impact of oil financialization on oil price fluctuation has not received enough attention. Based on time series data from January 1990 to October 2021, this paper adopts the Time-Varying Parameter Vector Auto-Regression (TVP-VAR) model and the Ensemble Empirical Mode Decomposition (EEMD) method to study the heterogeneous impact of oil financialization on oil price fluctuation from three perspectives: different periods, different frequencies, and different time points of major events. The research results are as follows. First, the impact of oil financialization on oil price fluctuation in different periods is heterogeneous in terms of fluctuation amplitude and intensity. During major events such as the financial crisis or the COVID pandemic, the impact of oil financialization on oil price fluctuation is volatile and intense. Second, the impact of oil financialization on the oil price fluctuation of different frequencies is mainly reflected in the direction and duration. Oil financialization mainly promotes high-frequency oil price fluctuation in the short term, and it mainly suppresses low-frequency oil price fluctuation in the long term. Third, the impact of oil financialization on oil price fluctuation is heterogeneous in terms of duration, intensity, and transmission speed at different time points of major events.

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Section: Measurement Of Crude Oil Price Fluctuationmentioning

confidence: 99%

Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity

et al. 2022

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Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index

Evkaya,

Gür,

Yıldırım Külekci

et al. 2024

Comput Econ

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Recently, the complex dependence patterns among various stocks gained more importance. Measuring the dependency structure is critical for investors to manage their portfolio risks. Since the global financial crisis, researchers have been more interested in studying the dynamics of dependency within stock markets by using novel methodologies. This study aims to investigate a Regular-Vine copula approach to estimate the interdependence structure of the Istanbul Stock Exchange index (ISE100). For this purpose, we consider 32 stocks related to 6 sectors belonging to ISE100. To reflect the time-varying impacts of the 2008–2009 global financial crisis, the dependence analysis is conducted over pre-, during-, and post-global financial crisis periods. Portfolio analysis is considered via a rolling window approach to capture the changes in the dependence. We compare the Regular-Vine-based generalized autoregressive conditional heteroskedasticity (GARCH) against the conventional GARCH model with different innovations. Value at risk and expected shortfall risk measures are used to validate the models. Additionally, for the constructed portfolios, return performance is summarized using both Sharpe and Sortino ratios. To test the ability of the considered Regular-Vine approach on ISE100, another evaluation has been done during the COVID-19 pandemic crisis with various parameter settings. The main findings across different risky periods illustrate the suitability of using the Regular-vine GARCH approach to model the complex dependence among stocks in emerging market conditions.

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Vine copula approach to the intra-sectoral dependence analysis in the technology industry

Čeryová,

Árendáš

2024

Finance Research Letters

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An application of Regular Vine copula in portfolio risk forecasting: evidence from Istanbul stock exchange

Cited by 5 publications

References 45 publications

Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity

Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity

Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index

Vine copula approach to the intra-sectoral dependence analysis in the technology industry

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