Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns

Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns

Many studies used the empirical Kendall's tau to select a preferable ordering of vine copulas or to fix such a sequence. In this study, for high dimension vine copulas, we propose the vine copula based cross entropy method to figure out a more appropriate ordering of the vine copula. The goal o...

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Main Authors: Songsak Sriboonchitta, Jianxu Liu, Aree Wiboonpongse
Format: Book Series
Published: 2018
Subjects:
Computer Science
Engineering
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-534122018-09-04T09:51:12Z Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns Songsak Sriboonchitta Jianxu Liu Aree Wiboonpongse Computer Science Engineering Many studies used the empirical Kendall's tau to select a preferable ordering of vine copulas or to fix such a sequence. In this study, for high dimension vine copulas, we propose the vine copula based cross entropy method to figure out a more appropriate ordering of the vine copula. The goal of this study is to estimate the non-conditional, conditional, and tail dependences for agricultural price index returns by using the C-vine and D-vine copula based cross entropy model. In addition, we show that a framework uses the Monte Carlo simulation and the results of vine copula to estimate the expected shortfall (ES) of an equally weighted portfolio. The optimal portfolio allocations can also be estimated using global optimization with the differential evolution algorithm. © Springer International Publishing Switzerland 2014. 2018-09-04T09:48:50Z 2018-09-04T09:48:50Z 2014-01-01 Book Series 21945357 2-s2.0-84897843679 10.1007/978-3-319-03395-2_18 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Engineering
spellingShingle Computer Science
Engineering
Songsak Sriboonchitta
Jianxu Liu
Aree Wiboonpongse
Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
description Many studies used the empirical Kendall's tau to select a preferable ordering of vine copulas or to fix such a sequence. In this study, for high dimension vine copulas, we propose the vine copula based cross entropy method to figure out a more appropriate ordering of the vine copula. The goal of this study is to estimate the non-conditional, conditional, and tail dependences for agricultural price index returns by using the C-vine and D-vine copula based cross entropy model. In addition, we show that a framework uses the Monte Carlo simulation and the results of vine copula to estimate the expected shortfall (ES) of an equally weighted portfolio. The optimal portfolio allocations can also be estimated using global optimization with the differential evolution algorithm. © Springer International Publishing Switzerland 2014.
format Book Series
author Songsak Sriboonchitta
Jianxu Liu
Aree Wiboonpongse
author_facet Songsak Sriboonchitta
Jianxu Liu
Aree Wiboonpongse
author_sort Songsak Sriboonchitta
title Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
title_short Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
title_full Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
title_fullStr Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
title_full_unstemmed Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
title_sort vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412
_version_ 1681424130452226048

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