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Archivio istituzionale della ricerca - Università di Genova
Conference object . 2022
Full-Text: https://iris.unige.it/bitstream/11567/1076317/1/IES2022.pdf
Data sources: Archivio istituzionale della ricerca - Università di Genova
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Archivio della ricerca - Università degli studi di Napoli "Parthenope"
Conference object . 2022
Data sources: Archivio della ricerca - Università degli studi di Napoli "Parthenope"
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Conditional copula: a financial application

descriptionPublicationkeyboard_double_arrow_right Conference object 01 Jan 2022 Italy English Publisher:PKE - Professional Knowledge Empowerment s.r.l.
Authors: Marta Nai Ruscone; Giovanni De Luca;

handle: 11367/108616 , 11567/1076317

Conditional copula: a financial application

Abstract

Understanding the underlying mechanism of influence that is present in the financial market is a great challenge. In this work, the conditional copula function is presented. In some contexts, the dependence structure between two variables can be highly influenced by one or more covariates, so it is of interest to know how this dependence structure changes with the value taken by the covariates. An application is carried out to estimate the influence of economic sectors on 46 large companies included in the EUROSTOXX50.

Country
Italy
Related Organizations
Keywords

Copula function, conditioning, financial returns

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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