List of Articles توابع کاپولا

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  1 - Frequency analysis of floods with joint functions, case study: Zayandehrood Dam
  Fatemeh Valaei Esfahani Zahra  Valaei Esfahani Mehran Iranpour
  Analyzing the frequency of floods and knowing the probability of occurrence and return period of this phenomenon is important in how to exploit the reservoir. This phenomenon is inherently multivariate and the use of classical multivariate functions to analyze this phen More

  Analyzing the frequency of floods and knowing the probability of occurrence and return period of this phenomenon is important in how to exploit the reservoir. This phenomenon is inherently multivariate and the use of classical multivariate functions to analyze this phenomenon is limited. Therefore, it is recommended to use copula functions for multivariate flood frequency analysis. These functions combine the distribution function of the univariate distribution function by considering the type of correlation of the variables. For frequency of this phenomenon, the variables of peak discharge, volume and duration of flood are used. This study was conducted on statistical data of Zayandehrood dam. Based on goodness of fit criteria, the best function is fitted to the each of the variables. The correlation of each pair of variables is calculated and the copula function is selected based on the Akaike, NSE, and RMSE criteria. After that, the obtained univariate and combined return periods have been displayed. These results can be used to estimate the risk. Manuscript profile
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  2 - Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching
  S. Mozaffar Mirbargkar Maryam Sohrabi
  Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial marke More

  Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial markets. Among them, the Copula model has a high ability to recognize the asymmetric dependence structure. The present research is going to study the dependency structure in the financial markets of four countries; Iran, the United Arab Emirates, Turkey and China at the boom and bust cycling in the period of 2014-2017, applying conditional heterogeneity variance model (GARCH), the Markov switching approach, and the Copula functions. The results illustrate that there is an asymmetric structure in every regime, as at the recession time, the correlation between these markets and Iranian market would be higher than the boom time. Manuscript profile
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  3 - Latent Volatility Modeling and Bayesian Analysis of stochastic Volatility of Intraday Data of Tehran Stock Exchange Index Based on Markov Monte Carlo Chain
  Saeed Shahriyari Peyman Iman zadeh Mehdi Khoshnood
  In this study, latent volatility modeling and Bayesian analysis of stochastic Volatility of intraday data of Tehran Stock Exchange index based on Markov Monte Carlo chain in uncertainty conditions (downward crisis of stock market index) have been developed. The method o More

  In this study, latent volatility modeling and Bayesian analysis of stochastic Volatility of intraday data of Tehran Stock Exchange index based on Markov Monte Carlo chain in uncertainty conditions (downward crisis of stock market index) have been developed. The method of the current research is a correlational description. For this purpose, at first, the distribution of the logarithm of the squared return as a measure of the realized volatilities was simulated using the stochastic Volatility model to obtain the latent volatilities, and then by using the hybrid MCMC-Copula model, the parameters affecting the stochastic Volatilities were identified and estimated in the training phase. Finally, using the results obtained from the training phase, in the test phase, the comparison of Copula and GARCH models was done. The results showed that the Copula Gumble, Galambos, Joe, Clayton and Frank provide similar and lower MSE and RMSE indices than the GARCH base model, and therefore the model based on copula provides the possibility of serial dependence in the latent volatility process. The findings of the current research can be useful for financial and investment companies for portfolio management and portfolio management in different conditions of market volatilities in order to achieve the investor's goals and increase the value of the portfolio. Manuscript profile
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  4 - Portfolio optimization by using the Copula Approach and multivariate conditional value at risk in Tehran Stock Exchange
  Mirfeiz Fallahshams Amir Sadeghi
  One of the main problems of shareholders in the stock market is the discovery, quantification and calculation of market risk. In many studies, one-way distributions are used to estimate risk metrics that usually do not give credible results to the investor. Because the More

  One of the main problems of shareholders in the stock market is the discovery, quantification and calculation of market risk. In many studies, one-way distributions are used to estimate risk metrics that usually do not give credible results to the investor. Because the distribution of assets is generally a broad sequence, and the results of computations are not acceptable for the consideration of the univariate normal distribution and the use of parametric methods. In this paper, using the Coppola theory, we calculate risk-weighted value (VaR) and conditional value-at-risk (CVaR). After estimating the multivariate T- Copula and the normal distribution of multivariate, the Monte Carlo method is used to generate a scenario for calculating the variance of the portfolio as well as risk estimation. Also, the calculations performed using the loss function method are tested and the accuracy of the approximations is verified. Finally, the minimum value of the copula based on the variance of the portfolio as well as its CVaR value is considered as the function of the portfolio planning, and the optimal portfolio is obtained by considering the weight of each share index. In the calculation of the 1200 index, we consider a sample basket of different industries, by calculating VaR and CVaR with confidence levels of 95 and 99 percent. The results obtained from the efficiency and reliability of the Monte Carlo simulation by the Copula T-Student versus the normalized multivariate distribution. Manuscript profile
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  5 - The Analysis and Test of Spillover and Volatility of Global Markets for Petrochemical Products and Base Metals (Based on Copula family models)
  Mahsa Banakar Hashem nikoomaram Hasan Ghalibaf Asl Mehrzad Minouie
  Fluctuations in commodity prices in global markets have always influenced the behavior and decisions of investors in financial markets. In this research, using the Copula family models, financial contagion or volatility spillover on global price of petrochemical product More

  Fluctuations in commodity prices in global markets have always influenced the behavior and decisions of investors in financial markets. In this research, using the Copula family models, financial contagion or volatility spillover on global price of petrochemical products and base metals on the on the stock price index of eight selected industries of Tehran Stock Exchange listed companies during a period of 10 years (2008-2018) has been reviewed. The research method is descriptive-analytical in nature and applied in terms of purpose. The research hypotheses were tested using an econometric approach based on Copula models and programming in MATLAB software. The results show that the effects of overflow of these variables on the index of selected industries are significant but different.Examination of different models of Copula method showed that T-Student model is most suitable for transmitting spillover effects, which indicates the symmetrical effects of price variables in global markets of petrochemical products and base metals on the index performance of selected industries. And then Clayton and Gumble models are in the next rank. Manuscript profile
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  6 - Modeling Extreme Dependence of Tehran Stock Exchange (TSE) to Crude Oil Price: An Approach based on Copula Functions
  Hamid Abrishami Mohsen Mehara Mojtaba Mohammadian
  10.30495/eco.2022.1949896.2614
  The objective of this study is to model the extreme dependence structure from the crude oil price to Tehran Stock Exchange (TSE) index. For this purpose, the conditional extreme value theory (C-EVT) was used to model the marginal distribution of returns on stock and oil More

  The objective of this study is to model the extreme dependence structure from the crude oil price to Tehran Stock Exchange (TSE) index. For this purpose, the conditional extreme value theory (C-EVT) was used to model the marginal distribution of returns on stock and oil market during the period 2008 to 2021. Then, the dependence structure of the extreme return was estimated by Copula models. The results showed that the crude oil market has contagion effects on the TSE. These effects are asymmetric and there is more dependence on the left tail. In other words, as crude oil price falls, decline of the total index is expected and these effects are greater when a positive simultaneous change occurs between variables. Due to the financial risks of the existence of contagion, considering structural extreme dependence can calculate the portfolio risk accurately and reliably. Therefore, it is suggested to pay attention to the structure of extreme dependencies between assets in order to optimize the portfolio. Manuscript profile
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  7 - The Analysis and Test of Spillover and Volatility Models in Tehran Stock Exchange (based on Copula family model)
  Mahsa Banakar Hashem Nikoomaram Hasan Ghalibaf Asl Mehrzad Minouei
  The present research examines the Financial Contagion or Volatility Spillover by financial assets such as exchange rates, gold and global variables on the stock market index. The correlation and Contagion between variables of global prices of gold, oil, and the dollar e More

  The present research examines the Financial Contagion or Volatility Spillover by financial assets such as exchange rates, gold and global variables on the stock market index. The correlation and Contagion between variables of global prices of gold, oil, and the dollar exchange rate on the index of 8 selected Tehran stock exchange industries over a period of 10 years (2008-2018) was examined. Method of the research is applied in terms of purpose and analytical-descriptive in terms of the nature. To test the research hypotheses using econometric approach based on Copula models, programming was performed in MATLAB software. The results of the show that the effects of volatility spillover of these variables on the index of selected industries are significant but different. The different models of the Copula method show that the Clayton and Gumbel models are most suitable for transmitting spillover effects in the upper and lower distribution of the range. The t-student model is in the next rank. In other words, the overflow effects of macro variables mostly affect one of the high (positive return) and low (negative return) domains, which indicates the existence of asymmetric effects on the return behavior of the selected industries of the stock exchange. Manuscript profile
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  8 - Modeling the latent Volatilities of the stock exchange index using the copula-stochastic Volatility model
  Saeed Shahriyari Peyman Iman zadeh mehdi khoshnood
  In this study, a hybrid copula-stochastic volatility model based on Monte-Carlo Markov chain is developed to evaluate the latent volatilities of the TSE Index. The data used to estimate the models include the values of the total index of the TSE from the beginning of 20 More

  In this study, a hybrid copula-stochastic volatility model based on Monte-Carlo Markov chain is developed to evaluate the latent volatilities of the TSE Index. The data used to estimate the models include the values of the total index of the TSE from the beginning of 2020 to the beginning of 2021 on a daily basis with a frequency of 30 minutes. Also, in order to determine the error, data from the date (03/27/2021) to (12/21/2021) has been used in 15-minute intervals. the square logarithm distribution of returns as a measure of realized volatilities is first simulated using a stochastic volatility model to obtain latent volatilities and then using a mixture of copula family distributions and the MCMC, modeling and estimation were performed in the training phase and finally in the test phase using out-of-sample data to estimate the stochastic volatility of the test phase was investigated. The results show that among the functions of Copula Gumble, Galambos, Joe, Clayton and Frank in the test phase, 3 Copula Gumble, Galambos, Joe have acceptable performance and among these functions, the Gumble-Stochastic Volatility based on MCMC with the lowest error rate among the out-sample data recorded better performance. Manuscript profile
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  9 - Testing of Reciprocal Transfer of Bubble in Stock Exchange, Currency and Gold Markets (A case study: in Iran Using Copula Functions)
  Yagoob Zahedi nader rezaei vadoud Najjari
  The main goal of this research is to investigate the formation and spread of bubbles in the financial markets of the stock exchange, currency and gold markets using semi-experimental studies, considering that previous studies in this field mostly study the effect of vol More

  The main goal of this research is to investigate the formation and spread of bubbles in the financial markets of the stock exchange, currency and gold markets using semi-experimental studies, considering that previous studies in this field mostly study the effect of volatility transmission or the effect of the return of one asset on the return of another market. Therefore, no study has been done in this field or it is limited; In this study, the data was collected in the period from 1389 to 1400 and was analyzed by descriptive and econometric statistical methods. The results of the analysis of the right-sequence unit root test show the existence of bubbles in all three markets under study. It shows the results of the analysis of vector auto-regression tests and copula (joint) functions. The structure of dependence between the three financial markets is quite dynamic and this dependence is greater when the market is in a developing situation than in a recession. Also, the sequential dependence between the gold coin and the exchange rate is much stronger than the dependence between the stock market and gold. Manuscript profile