Browsing School of Science and Computing (JA) by Subject "Copula"

Now showing items 1-2 of 2

Modelling dependence between the equity and foreign exchange markets using copulas

Sewe, Stanley; Weke, Patrick G. O.; Mung’atu, Joseph K. (Hikari, 2014)

Dependence between financial variables is a key consideration for portfolio diversification and risk management. Linear correlation as a measure of dependence is inadequate in capturing dependence of financial variables. ...
Modelling time varying dependence of financial time series: A copula approach

Sewe, Stanley; Weke, P. G. O.; Mung’atu, J. K. (CESER Publications, 2015)

Dependence between financial markets is a key concern for investors who seek to diversify their portfolios as they manage risks arising as a result of their investment decisions. In this paper we apply the copula theory ...

Search Dspace