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Open Access Article
1 - Frequency analysis of floods with joint functions, case study: Zayandehrood Dam
Zahra Valaei Esfahani Fatemeh Valaei Esfahani Mehran IranpourAnalyzing 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 MoreAnalyzing 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 -
Open Access Article
2 - The impact of structural dependence on the efficient frontier of portfolio changes and comparison with traditional methods in Tehran Stock Exchange (Copula functions)
Mehdi Salehi Samaneh Zamani MoghaddamMarkowitz optimization problem and to determine the efficient frontier of investment, when the number of assets and restrictions on investment in the market is low, the mathematical model is solved. But this mathematical approach can reply different provider that someti MoreMarkowitz optimization problem and to determine the efficient frontier of investment, when the number of assets and restrictions on investment in the market is low, the mathematical model is solved. But this mathematical approach can reply different provider that sometimes it is more accurate and more complete. In this paper, we examine the dependence structure between time series Tehran Stock Exchange market indices and exchange rate of the dollar and its impact on the efficient frontier portfolios have covered.The results show that the upper tail dependence indices is less than the lower tail dependence, this means that the decline in the dollar exchange rate indices are reduced, but with the rise in the dollar exchange rate accepted in Tehran stock Exchange index increase is lower. We also propose a new optimization program where the risk is worth the risk and return of joint function is estimated. The results show that the upper tail dependence indices is less than the lower tail dependence, Manuscript profile -
Open Access Article
3 - Dynamic and Extreme Dependency Analysis Based on copula-GARCH and Semi Parametric Approach
Maryam Moghaddas Bayat Shamsollah Shirinbakhsh MassolehThis article uses copula-GARCH model and semi parametric approach to detach non-Gaussian conditional distribution to marginal densities and copula functions. This statistical characteristic conceives analysis of dynamic and extreme dependency in nonlinear and asymmetric MoreThis article uses copula-GARCH model and semi parametric approach to detach non-Gaussian conditional distribution to marginal densities and copula functions. This statistical characteristic conceives analysis of dynamic and extreme dependency in nonlinear and asymmetric structure. This modern statistical tool uses to study structure of Iran financial market dependency to domestic and international market during period of 3 August 2013 to 16 August 2015.Daily observations consist of Free Float Index, official exchange rate(Rial/Dollar), international gold price(in terms of Dollar), and OPEC Basket Price(Barrel/Dollar). Results show that stock exchange dependency to the markets is completely dynamic and there is non-correlation only in some time point. Structure of tail distribution dependency implies that there is asymmetric extreme dependency in a way that stock exchange dependency to the markets is stronger during expansion rather than recession. This findings show that investors are optimistic and more sensitive to good news during the period under study Manuscript profile -
Open Access Article
4 - 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 SohrabiStudying, 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 MoreStudying, 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 -
Open Access Article
5 - Portfolio Optimization with CVaR under VG Process
Mostafa Heidari HaratmehFormal portfolio optimization methodologies describe the dynamics of financial instruments price with Gaussian Copula (GC). Regardless of the skewness and kurtosis of assets return rate, optimization with GC underestimates the optimal CVaR of portfolio. In the present p MoreFormal portfolio optimization methodologies describe the dynamics of financial instruments price with Gaussian Copula (GC). Regardless of the skewness and kurtosis of assets return rate, optimization with GC underestimates the optimal CVaR of portfolio. In the present paper, we develop an approach to portfolio optimization by introducing Lévy processes. It focuses on describing the dynamics of assets’ log price with Variance Gamma copula (VGC) rather than GC. Doing a case study on three Indexes of Iran Stock Market, the best hedge positions of Total Index, Market Index and Industry Index with the performance function CVaR under VG model were calculated. The results indicate that (a) VG copula can efficiently overcome the shortcomings of Gaussian copula which underestimates the CVaR of portfolio; (b) optimal portfolio, VaR and CVaR keep stable each time one parameter of sample’s skewness or kurtosis was changed, but the optimal portfolio change significantly when the sample’s mean increases or decreases; (c) different copula lead to different optimal CVaR; and (d) fat-tailedness and kurtosis are extremely important in portfolio optimization framework. Manuscript profile -
Open Access Article
6 - Modeling rainfall event characteristics using D-vine copulas
مریم شفائی احمد فاخری فرد یعقوب دین پژوه رسول میرعباسیInvestigation of precipitation characteristics is necessitate in understanding and predicting phenomena of precipitation such as runoff and flood. Therefore in this study, dependence among the main characteristics of a rainfall event (i.e., rainfall depth R, maximum rai MoreInvestigation of precipitation characteristics is necessitate in understanding and predicting phenomena of precipitation such as runoff and flood. Therefore in this study, dependence among the main characteristics of a rainfall event (i.e., rainfall depth R, maximum rainfall depth M, wet period L, and dry period D) were modeled using D-vine structure. Firstly, different multivariate probability distributions were built, making all the permutations of the conditioning variables and then Archimedean and Elliptic copulas were used for fitting each pair-copula. The best copula family was selected for fitting on each pair-copula according to different criteria. In the next stage, M-R-D-L structure, i.e., with D conditioned by L, R by D and L, and M by R, D, and L, was known as the most suitable structure considering to AIC and BIC criteria. Finally, rainfall event characteristics were simulated using the selected structure. In order to evaluation of simulation accuracy of proposed model, the main statistics of simulated variables were compared with those of observed variables. The results showed that the majority of simulated statistics have good accordance with observed statistics. Manuscript profile -
Open Access Article
7 - Bivariate Frequency Analysis of Rainfall Characteristics Using Archimedean Copula Functions (Case Study: Khanmirza Watershed in Chaharmahal and Bakhtiari Province)
Samira Moradzadeh Rahmatabadi Mohsen Irandost Rasoul MirabbasiBackground and Aim: This study aims to analyze the frequency of bivariate precipitation characteristics using Copula functions. for this purpose, daily rainfall data of Aloni station located in Khanmirza plain during the statistical period of 1986-2012 were used. After MoreBackground and Aim: This study aims to analyze the frequency of bivariate precipitation characteristics using Copula functions. for this purpose, daily rainfall data of Aloni station located in Khanmirza plain during the statistical period of 1986-2012 were used. After evaluating the rainfall events recorded at Aloni station in the study period (763 events), rainfall duration, rainfall depth, and then rainfall intensity of the events were calculated. Studies show that in the study area, usually rainfall events with an intensity of 5 mm/hr and more lead to floods, so in this study, the events that led to floods were selected to continue the calculations. Then, the common distributions in hydrology were fitted to each of the rainfall characteristics (duration, intensity, depth of rainfall) and the distributions that had the best fit to each of the rainfall characteristics were selected. Then, ten Copula functions were used to create a multivariate distribution of rainfall characteristics.Method: In this study, at first rainfall characteristics such as intensity, duration and depth were extracted for rainfall data leading to floods. Then the common margin distribution functions in hydrology were fitted to the characteristics. Then, after selecting the best margin distribution to create the cumulative distribution function (CDF) to create the multivariate distribution of rainfall characteristics, fitting the Copula functions of Clyton, Ali-Mikhaiel-Haq, Farli-Gumble-Morgan Stern, Frank, Galambos, Gamble-Hauggard, Placket, Filip-Gumble, Joe, and Gumble-Barnett on the mentioned variables were studied in pairs and for each pair of precipitation characteristics, the best Copula function was determined by comparing with the corresponding values of the empirical Copula. Then, using good criteria, the fit of the best Copula function for rainfall characteristics was determined. Since the condition for using Copula functions is the existence of a correlation between the studied features, so using Spearman, Pearson, and Kendall correlation coefficients, the correlation between the features was investigated also the cases of joint and conditional return periods, both probability and conditional and Kendall return period, which is basic concepts for analysis based on Copula functions, were evaluated.Results: The results of the analysis showed that the general extreme value distribution function (GEV) on rainfall characteristics (intensity, duration, depth) was known as the best distribution function and the results of the goodness of fit test showed that the Joe Copula function as The superior Copula function is based on the characteristics (intensity and duration) and (intensity and depth) and the Farli Gumble Morgan Stern Copula function was known as the superior Copula function on the depth and duration characteristics of rainfall. The results of both probability and conditional probability showed that when the flooding rainfall is 8 hours, the probability level will be 45 mm for the probability level of 0.2 and the probability of precipitation for the same level for the duration of is not necessary. It can be omitted15 hours. It will be 51 mm. The results of the Joint return period for “and” state showed that for the depth of rainfall of 60 mm and the intensity of rainfall of 60 mm/hr., the return period in the "and" state is less than 20 years. Based on the "or" mode for the same amount of intensity and depth of rainfall, the return period is less than 10 years (about 6 years). For a 25-year return period, provided the duration of the rainfall is 12.5 hours or more, the rainfall depth will be 75 mm.Conclusion: Based on the results of comparing the values of theoretical Copulas with the corresponding values of empirical probability, the Joe Copula function was recognized as the superior Copula function to create a bivariate distribution of rainfall intensity and depth characteristics, as well as a pair of rainfall intensity and duration characteristics. Farli- Gumble - Morgan Stern Copula had a better fit for rainfall duration and depth data. Then, using superior fitted Copula functions, useful information such as probabilistic and conditional probability as well as joint and conditional return periods were extracted. The maximum rainfall depth recorded at Aloni station was 114.7 mm and its duration was 14.40 hours. The seasonal "or" is 60 years old. The results of the joint and conditional return periods in this study have been widely used in hydrological and water resources studies, including flood risk analysis, drought, watershed management, and rangeland management. Manuscript profile -
Open Access Article
8 - Comparison of performance of C-Vine and D-Vine tree copulas in multivariate analysis of precipitation characteristics
Maryam Shafaei Rasoul MirabbasiIn this study, the basic features of a tree vine copula such as the ability to decompose multivariate distributions into two-dimensional distributions, its flexibility in high-dimensional problems, and the use of conditional dependencies between variables have been cons MoreIn this study, the basic features of a tree vine copula such as the ability to decompose multivariate distributions into two-dimensional distributions, its flexibility in high-dimensional problems, and the use of conditional dependencies between variables have been considered. The purpose is to use C-Vine and D-Vine structures to determine the four-dimensional probabilistic distribution function of important characteristics of precipitation events of Cremona rain station located in Italy including maximum precipitation intensity total precipitation depth, wet period duration and dry period. So that, a combination of the most suitable Archimedean and elliptical copulas families was identified to fit the pair-copulas of each of the C-Vine and D-Vine structures. The optimal combined distribution functions of C-Vine and D-Vine structures were also calculated using chain density functions and compared with the four-dimensional experimental copula of important precipitation characteristics. Finally, the accuracy of C-Vine and D-Vine tree structures in determining the combined distribution functions of important precipitation characteristics was compared. The results showed that the RDLM C-Vine structure has a minimum value of evaluation criteria RMSE = 0.029 and MAE = 0.022, as well as a maximum of P-value = 0.35 and R2 = 0.998 among all C-Vine and D-Vine structures. As a result, it has the highest accuracy for frequency analyzing the of precipitation characteristics of Cremona station in Italy. Manuscript profile -
Open Access Article
9 - Application of the Nested Copula Functions for Analysis of Four variate of Meteorological Droughts (Case Study: West of Iran)
zabihollah khani temeliyeh Hossien Rezaie Rasoul MirabbasiDrought is a natural disaster and inevitable phenomenon, which should be considered preventable, but can be managed and organized. The main purpose of this study is to show how copula functions are used in the four-variable analysis of drought in the west of Iran. For t MoreDrought is a natural disaster and inevitable phenomenon, which should be considered preventable, but can be managed and organized. The main purpose of this study is to show how copula functions are used in the four-variable analysis of drought in the west of Iran. For this purpose, the drought characteristics, including severity, duration, inter arrival time and peak were extracted using modified Standardized Precipitation Index (SPImod). Then the frequency distributions were fitted to the mentioned drought characteristics and the best fitted marginal distribution were specified for every drought characteristics. The results showed that the gamma and exponential distributions had the best fitness on the drought severity and duration, respectively. Also, for drought peak and inter arrival time variables, the GEV function was known as the best fitted marginal distribution. In order to four variate analysis of drought characteristics, these variables were paired two by two using nested copula method. For this purpose, the fitness of nine copula functions, including Clayton, Ali-Mikhail- Haq, Farlie- Gamble- Morgenstern, Frank, Gamble, Gamble- Hougaard, Plackett, Philip Gamble and Joe were examined using Akaike Information Criterion (AIC), Maximum Likelihood (ML), and Nash-Sutcliffe Efficiency (NSE) criteria. The results showed that Joe copula is the best function for constructing the multivariate distribution in the study area. Also, this study showed that a four-variate analysis of drought provide useful information for planners and managers for drought prediction and planning to cope with drought consequences. Manuscript profile -
Open Access Article
10 - Modeling and Bivariate Analysis of Meteorological Drought Using Data Generation with Climate Change Approach (Case Study: Lake Urmia)
Farzad Khezri Mohsen Irandost Navid Jalalkamali Najme YazdanpanahBackground and Aim: Climate Climate change is one of the important factors that will affect different parts of human life on the planet and will have detrimental effects on the environment, socio-economic, and especially water resources. Knowledge of climate change MoreBackground and Aim: Climate Climate change is one of the important factors that will affect different parts of human life on the planet and will have detrimental effects on the environment, socio-economic, and especially water resources. Knowledge of climate change can provide comprehensive plans in various areas of management regarding the monitoring of droughts and their potential risks. Drought can occur in any area, even wetlands. This phenomenon depends on various factors and parameters and one of the most important symbols of this phenomenon is the occurrence of drought is a decrease in rainfall and therefore the analysis of precipitation data is of special importance to study drought. The purpose of this study is to analyze drought variables using SPI and SPImod indices and detailed functions.Method: In this study, to model the multivariate analysis of drought in Lake Urmia basin using RCP8.5 and RCP4.5 representative concentration pathway scenarios, data and models of atmospheric circulation of historical data (1991-2010) for three near horizons (2030- 2011), medium (2065-2046) and round (2099-2080) were simulated and produced. Then, using SPImod index and copula functions, drought multivariate analysis was performed in MATLAB software environment. In general, first, using the mentioned indicators (two indicators, SPI and SPImod), the characteristics of drought intensity and duration were extracted, then, using coding in MATLAB software environment, eight families of Archimedean detailed functions were used.Results: The results of multivariate analysis showed that the Joe copula function is the best copula function for drought multivariate analysis (For analysis of both severity and duration of drought for the study area). Also, the results of probability and the joint return period showed that in the coming periods, at least droughts of the same level as historical droughts and even more severe will occur. Thus, by studying the period of combined and conditional returns and Kendall, the results showed that at a certain critical probability level, the amount of Kendall return period is much more than the standard return period, so that this difference increases with increasing that certain amount.Conclusion: The results obtained with the climate change approach on the meteorological drought of Lake Urmia showed that in the coming periods we will see an increase in temperature, which will affect the rate of trade in the region and water resources, on the other hand, because the data Meteorology and hydrology are used to calculate the types of droughts, so droughts affected by climate change will be so that in future periods 46% to 48% of the months will be dry in different horizons. Finally, the results of the time series of indicators showed that during the statistical period at least 40% of the months were dry and this intensity of droughts in the Urmia station is much higher than others. The modified SPI largely eliminates the disadvantages of conventional SPIs and takes into account seasonal variations in precipitation in the calculation of the SPI index. Manuscript profile -
Open Access Article
11 - Multivariate Analysis of Hydrological Droughts in Urmia Lake basin Using Artificial Data Generation Technique and Copula Functions
Babak Shahinejad Zahra Shams Zabihollah Khani temeliyeh Azadeh ArshiaBackground and Aim: From a hydrological point of view, measuring the flow of rivers, lakes and groundwater is a measure of drought and there is a baseline time between the lack of rainfall and the decrease of running water of inlets and lakes and groundwater. More studi MoreBackground and Aim: From a hydrological point of view, measuring the flow of rivers, lakes and groundwater is a measure of drought and there is a baseline time between the lack of rainfall and the decrease of running water of inlets and lakes and groundwater. More studies have been done on meteorological droughts compared to hydrological droughts. Therefore, the purpose of this study is multivariate analysis of hydrological droughts in Lake Urmia basin using artificial data generation models and Copula functions. Therefore, using a combination of the above methods for the analysis of hydrological droughts was used as a new method for the analysis of hydrological droughts.Method:In this study, in order to multivariate analysis of hydrological droughts in the Urmia Lake basin, the flow data of 28 hydrometric stations in which the flow regime is real were used during a statistical period of 40 years (1978-2017). Also, Ar (1) model was used to generate artificial data and SDImod index was used for drought analysis. For this purpose, artificial data were generated in 1000 sequence. Since univariate drought analysis and analysis based on historical data can not show the horizontal of future droughts alone, so using the Ar (1) model, annual data were generated and then using the model The Valencia and Schakke generated monthly artificial data. Then drought characteristics (intensity and duration) were extracted for both historical and generation data series and common distributions in hydrology were fitted to intensity, duration and flow data. Then the transfer probability matrix and their steady state condition matrix (SSC) were also calculated. Also, multivariate analysis of hydrological droughts was performed using ten Archimedean Copula functions. The above coding was done in MATLAB software environment.Results: The results of this study showed that after examining the homogeneity of data and their static test, most of the data had the necessary homogeneity and the results of data homogeneity showed that the coefficient of explanation was above 0.9 and the results of static test and Their trend showed that the data were within the allowable range of 1.2 ±2.1 and ±1.96. The results of fitting the data on the common statistical distributions showed that the Log Pearson Type3 (LP3) function was known as the superior distribution functions on the flow data and the gamma and exponential distribution functions on the severity and duration of the drought, respectively. The number of drought periods based on different scales of SDImod index showed that for different periods the number of drought periods for short-term scales was more than long-term scales. Also, the average intensity and duration of drought for generated and historical data indicate an increase in the intensity of drought for generated data compared to historical data. The results of classifying drought periods for historical and generated data showed that approximately 68% of the data were in the normal range during the statistical period and 32% were other classes. The result of the Copula functions showed that the Joe Copula function in the first order and Filip Gumble and Galambos functions in the next order were known as the superior Copula functions.Conclusion: Finally, the results showed that the artificial data generation models for annual and monthly data for statistical years less than 30 years maintain the statistical characteristics of mean, standard deviation, skewness and correlation between two consecutive months, while increasing The number of statistical years of model performance becomes more favorable. The cumulative probability of non-annual drought and the probability of normal and wet season in hot months of the year is higher than other months of the year. Also, with increasing periods of drought, the cumulative probability of non-drought increases, so that with increasing periods, this probability decreases and becomes almost zero. The results of the joint and conditional return periods as well as the Kendall return period showed that the probability of drought occurring in future periods is expected to be at least similar to the historical data. The results also showed that the Joe Copula function was recognized as the superior Copula function for historical and generated data. Accordingly, the theoretical Copula function is close to the 45 degree angle bisector against the experimental Copula function. Manuscript profile -
Open Access Article
12 - Assessment of joint deficit drought index under climatic conditions of Iran
Aida Hashemi Nasab Javad Bazrafshan Arezoo Nazi GhameshlouJoint Deficit Index (JDI) is computed based on combination of the 12 modified Standardized Precipitation Index (SPImod) corresponding to the 12 time scales 1-12 month using the empirical and theoretical copula functions. Researchers suggest calculating the JDI as empiri MoreJoint Deficit Index (JDI) is computed based on combination of the 12 modified Standardized Precipitation Index (SPImod) corresponding to the 12 time scales 1-12 month using the empirical and theoretical copula functions. Researchers suggest calculating the JDI as empirically due to difficulty and time-consuming in computing its theoretical form. The aim of this paper is to compare the empirical and theoretical copula-based joint deficit indices at 42 weather stations in Iran for the common period 1966-2010. For calculating the theoretical JDI (TJDI), we chosen the best copula function from the four candidate functions including Student’s t, Clayton, Gumbel and Frank using two information criteria. In contrast, calculation of the empirical JDI (EJDI) not need fitting any copula function to data, and therefore it can be computed more simply than TJDI. Results showed that the Student’s t copula is the best function at all selected stations; therefore, the theoretical JDI was computed based on this copula function. Although both indices, i.e. EJDI and TJDI showed a similar behavior of drought severity, the EJDI faced two problems in all selected stations: 1) The lowest value in the EJDI time series is frequently repeated in different parts of its time series, 2) The EJDI was not able to identify the peak of drought severity during the critical drought periods. In contrast, the TJDI did not face the mentioned issues and therefore that is suggested for monitoring overall status of droughts in the study area. Manuscript profile -
Open Access Article
13 - 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 KhoshnoodIn 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 MoreIn 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 -
Open Access Article
14 - Portfolio optimization by using the Copula Approach and multivariate conditional value at risk in Tehran Stock Exchange
Mirfeiz Fallahshams Amir SadeghiOne 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 MoreOne 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 -
Open Access Article
15 - portfolio optimization based on modeling of dependence structure and extreme value theory
mohamad safaei alireza saranj Mehdi ZolfaghariInvestigating the probablility of rare events occurring (events that occur with very low probability) is an important issue in portfolio risk management. extreme value theory of value provides the mathematical basis for modeling these events and calculating the risk cri MoreInvestigating the probablility of rare events occurring (events that occur with very low probability) is an important issue in portfolio risk management. extreme value theory of value provides the mathematical basis for modeling these events and calculating the risk criteria associated with them, such as the value at risk. The purpose of this paper is to model the dependency structure andextreme value theory of 10 foreign exchange companies of Tehran Stock Exchange (Persian Gulf Holding, Bandar Abbas Refinery, Mobarakeh Steel, Topico, Ghadir, Parsian Oil and Gas, Melli Mes, Gol Gohar, Mobile Communications, Chadormelo).The results indicated the fact that among the stock returns of the top 10 companies evaluated, it is possible that using extreme value theory of value using vine Copula functions, the results of the forecast were greatly increased. Results of the copula function in six modes: simple Copula (t), time-varying Copula (tDCC), and Gaussian distribution-based time-varying Copula (GDCC). tvSJC) was investigated. In all six cases, the use of the Copula -wine method increased the accuracy in predicting optimal stock returns. Manuscript profile -
Open Access Article
16 - 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 MinouieFluctuations 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 MoreFluctuations 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 -
Open Access Article
17 - Portfolio VaR Modelling using EVT-Pair-Copulas Approach
Ali Souri Saeed Falahpor Ali Foroush Bastani Ehsan AhmadiThe purpose of this research is to model Value-at-Risk (VaR) of portfolio with EVT-Pair-Copulas approach. In the financial literature, a significant amount of empirical studies have been done on the characteristics of financial assets returns and researchers have found MoreThe purpose of this research is to model Value-at-Risk (VaR) of portfolio with EVT-Pair-Copulas approach. In the financial literature, a significant amount of empirical studies have been done on the characteristics of financial assets returns and researchers have found a set of stylized facts about this subject. In this regard leptokurtic, left-skewed, weak autocorrelation, volatility clustering, and heteroscedasticity can be mentioned. Any estimation of risk without considering these characteristics or using unrealistic assumptions about financial assets returns increases the probability of failure in the risk management process. For this purpose, at first, the marginal distributions of returns are obtained using extreme value theory (EVT). Concerning characteristics of financial assets returns and also the primary filter to apply EVT, we use heteroscedasticity models for the marginal distributions of assets. Then the structure of the dependence between different stocks is estimated by using C-Vine, D-Vine, and R-Vine pair copula models. Afterward, the VaR of portfolio is estimated using the Monte Carlo simulation method. The final results show that the model with GARCH marginal distribution and R-Vine pair copula has been able to achieve the best performance among rival models at 95% confidence level. Manuscript profile -
Open Access Article
18 - Investment Portfolio Optimization of Insurance Companies with Copulas and Extreme Value Approach
arash goodarzi reza Tehrani Ali souriThis study determines the optimal investment portfolio of insurance companies by considering underwriting activities. investment decisions in insurance companies are affected by underwriting activities. In this paper, the investment optimization problem of insurers is m MoreThis study determines the optimal investment portfolio of insurance companies by considering underwriting activities. investment decisions in insurance companies are affected by underwriting activities. In this paper, the investment optimization problem of insurers is modeled using the copula-based conditional risk value, taking into account the results of insurance activities. Also, since the emphasis is on tails of distribution, the probability distribution of variables in tails is estimated using Pareto distribution and in other parts of the distribution using the Empirical probability distribution. Data collected on monthly basis covers two periods in-sample, between 2006 to 2015 and out-of-sample, between 2016 to 2019.The findings show that the optimum portfolio includes eighty percent of risky assets (stock and real estate) and only twenty percent of risk-free assets (bank deposits) and it is outside the legal constraints set by Central Insurance Therefore, legal constraints prevent insurance companies from the optimal selection of investment portfolio. Also, the comparison of out-of-sample performance with in-sample performance of portfolios shows that portfolios based on copula functions have better and more robust performance than traditional models. Manuscript profile -
Open Access Article
19 - Application of Copula and Simulated Returns in the Portfolio Optimization with Conditional Value-at-Risk (CVaR) in Tehran Stock Exchange (TSE)
Esmaeil Lalegani Mostafa ZehtabianSeveral studies have confirmed with using criteria appropriate to the structure and characteristics of the data, the performance of the models significantly improved. The Copula function is one of the models in determining the relationship between variables has attracte MoreSeveral studies have confirmed with using criteria appropriate to the structure and characteristics of the data, the performance of the models significantly improved. The Copula function is one of the models in determining the relationship between variables has attracted a lot of attention. In this study, we investigated the portfolio of TSE industry indexes optimized to minimize the Conditional Value at Risk, simulated data based on Copula function and generalized Pareto distribution as input. The statistical analyzes implies portfolio performance improves significantly. Since the Copula functions are diverse, Compare the impact of any one risk reduction is recommended. Manuscript profile -
Open Access Article
20 - Dependence structure between Iranian financial system’s sub sectors: a vine copula approach
Soheil Khalili Reza TehraniIn this paper, we apply R-Vine copula -ARMA-APGARCH approach to investigate the dynamic relationship between banking, insurance and pension, investment and other financials sub-indexes in Tehran stock exchange. Using a sample of more than 8 years of daily return ob MoreIn this paper, we apply R-Vine copula -ARMA-APGARCH approach to investigate the dynamic relationship between banking, insurance and pension, investment and other financials sub-indexes in Tehran stock exchange. Using a sample of more than 8 years of daily return observations of the financial sub-indexes, we find evidence of significant and symmetric relationship between these variables. Finally, there is evidence to suggest that the application of the vine copula model improves the accuracy of VaR estimates, compared to traditional approaches. This paper results show that vine copula VaR is accurate at 1% and 5% significance levels. This paper’s findings suggest the flexibility and capacity of vine copula structures in financial dependency modeling and risk management Manuscript profile -
Open Access Article
21 - Effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock Exchange Index: A copula based approach
Mahdi Salehi Samaneh Zamani Moghadam Sadegh NekooeiDuring the last decade crucial part of the analyzing the time series has devoted to the long memory. Existence of long memory in output of possession has significant application for investing in efficiency of market, Pricing the differential paper, and selecting the pos MoreDuring the last decade crucial part of the analyzing the time series has devoted to the long memory. Existence of long memory in output of possession has significant application for investing in efficiency of market, Pricing the differential paper, and selecting the possessions basket. In our research the effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock exchange index. First the existence of long memory ARFIMA test review and continue to understand the impact of long memory on the dependence structure of two types, raw data and filtered data (Dollar exchange rate variability data and index Petroleum for the period from 2009-2013) have been used. The result showed that the raw data has a long memory, than the tail dependent data are filtered. Manuscript profile -
Open Access Article
22 - The oil and gold global market interaction on the stock market of Iran; the GARCH-Copula approach
Seyed Mozaffar Mirbargkar Maryam Borzabadi FarahaniStudying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation MoreStudying the countries' stock market and global market interaction has been one of the most important research subjects in the global market. Thus, studying the relationships may have a significant role for the decision making of the investors. An appropriate estimation of the dependence structure has been the significant starting point at an investing period, for the investment risk control. The present research aims to study the interaction between dependence structure at Tehran stock market efficiency and the global price of gold and oil, at the period of 2010-2017, on a daily basis. In doing so, GARCH-Copula approach has been applied. The results show the asymmetric mutual relationship between the studied efficiencies. As it can be seen in the present paper, the t-student Copula functions can have a better recognition than other functions for both efficiencies; 'Tehran stock and gold market', and 'Tehran stock and oil market'. The results indicate that the Tehran stock market has been highly dependent to both oil and gold markets, and their threshold changes may lead to a stronger dependency of the markets together. Manuscript profile -
Open Access Article
23 - Applying the GARCH and COPULA Models to Examine the Relationship Between Trading Volume and the Value of Trading with the Bubble Pricing
Jalil Beytary Hossein Panahian -
Open Access Article
24 - Portfolio Optimization under Varying Market Risk Conditions: Copula Dependence and Marginal Value Approaches
Jila Ahmadi Hasan Ghodrati Ghezaani Mehdi Madanchi Zaj Hossein Jabbari Aliakbar FarzinfarThis paper aims to investigate the portfolio optimization under various market risk conditions using copula dependence and extreme value approaches. According to the modern portfolio theory, diversifying investments in assets that are less correlated with one another al MoreThis paper aims to investigate the portfolio optimization under various market risk conditions using copula dependence and extreme value approaches. According to the modern portfolio theory, diversifying investments in assets that are less correlated with one another allows investors to assume less risk. In many models, asset returns are assumed to follow a normal distribution. Consequently, the linear correlation coefficient explains the dependence between financial assets, and the Markowitz mean-variance optimization model is used to calculate efficient asset portfolios. In this regard, monthly data-driven information on the top 30 companies from 2011 to 2021 was the subject to consideration. In addition, extreme value theory was utilized to model the asset return distribution. Using Gumbel’s copula model, the dependence structure of returns has been analyzed. Distribution tails were modeled utilizing extreme value theory. If the weights of the investment portfolio are allocated according to Gumbel’s copula model, a risk of 2.8% should be considered to obtain a return of 3.2%, according to the obtained results. Manuscript profile -
Open Access Article
25 - Application of Clayton Copula in Portfolio Optimization and its Comparison with Markowitz Mean-Variance Analysis
Roya Darabi Mehdi Baghban -
Open Access Article
26 - A study on species of Orius (Heteroptera: Anthocoridae) based on the female and male genitalia in Fars province, Iran
H. Ostovan F. Homayoon Sh. Hesami M. FallahzadehThe flower bugs genus Orius Wolff, 1811 (Hemiptera: Anthocoridae) in Fars province is reviewd. These insects are useful and important as natural members of the predatory fauna and as biological control agents in many agroecosystems. The Orius specimens were collected fr MoreThe flower bugs genus Orius Wolff, 1811 (Hemiptera: Anthocoridae) in Fars province is reviewd. These insects are useful and important as natural members of the predatory fauna and as biological control agents in many agroecosystems. The Orius specimens were collected from different regions of Fars province (southern Iran) during 2016-2019, and put in alcohol 75% mix of Glycerin 5%. Then males' genitalia and females' copulatory tubes were mounted on slides by Hoyer’s medium to examine and illustrate the detailed characters. In this research Eight species are recognised, one of them Orius piceicollis (Linberg,1936)and subspecies Orius laevigatus maderensis (Reuter,1884)are new records for Iran. Diagnoses, habitus and DIC images of species including both male and female genitalia are provided. However identifying these insects has been based on identifying the male’s genitalia, but upon the results of this investigation, female copulatory tubes, along with a male paramer characters can be used as a reliable character for identification of genus Orius species. Manuscript profile -
Open Access Article
27 - Presenting a model for stock portfolio optimization based on a combination of GARCH-copula models in Tehran Stock Exchange
Somayeh Rasekh Amir Mohammadzadeh Mohsen SeighaliTherefore, in the present study, a model for stock portfolio optimization based on a combination of GARCH-copula models in the Tehran Stock Exchange was presented. The present study is in the group of descriptive-correlational researches in terms of practical purpose an MoreTherefore, in the present study, a model for stock portfolio optimization based on a combination of GARCH-copula models in the Tehran Stock Exchange was presented. The present study is in the group of descriptive-correlational researches in terms of practical purpose and data collection method. Also, the statistical sample of the study includes 50 more active companies in the fourth quarter of 1398. For this purpose, the monthly stock return information of these companies was studied over a period of 10 years between 2011 to 2020, and therefore the number 120 rows of observations for each company are the basis of the analysis. The findings of this study show that that the Garch-Copola EVT method has the necessary efficiency to form a portfolio. In terms of risk criteria, it can be seen that this method has presented the lowest risk among the existing methods, and these results confirm the relationship between risk and return in investment activities. Although in this method, a smaller return is obtained than other methods, but the risk will be lower for the investor. Therefore, it can be accepted that this method has been effective in order to optimize the stock portfolio. Comparing the performance of this method with the uniform weights method, it can be seen that the Sharpe ratio in the portfolio with uniform weights was significantly larger than this ratio in the Garch-Copola portfolio. Therefore, it seems that in terms of Sharpe's criterion, the uniform weights method performed better than the proposed method and this method did not have an acceptable efficiency in improving the performance of the portfolio compared to the uniform weights method. Although based on the Sharpe criterion, this method has shown the worst performance among the portfolio formation methods, but in terms of the risk criterion, it can be seen that the risk of this portfolio is significantly lower compared to other methods. Therefore, it can be accepted that the formation of the portfolio using the Garch-Copola EVT method has been able to reduce the portfolio risk compared to other methods. Manuscript profile -
Open Access Article
28 - Stochastic analysis of k-out-of-n: G Type of Repairable system in Combination of Subsystems with Controllers and Multi Repair Approach
Vijay Singh P.K Poonia -
Open Access Article
29 - Modelling Malaysia stock markets using GARCH, EGARCH and copula models
Nurul Hanis Aminuddin Jafry Ruzanna Razak Noriszura Ismail -
Open Access Article
30 - A Note on the Maximum Difference Between Schweizer and Wolff's $\sigma$ and the Absolute Value of Spearman's $\rho$
Manuel Ubeda-FloresIn this note we correct an error on the possible maximum difference between the (measure of dependence) Schweizer and Wolff’s σ and the absolute value of the (measure of concordance) Spearman’s ρ given in [8]. Moreover, we provide a possible value for that possible, lea MoreIn this note we correct an error on the possible maximum difference between the (measure of dependence) Schweizer and Wolff’s σ and the absolute value of the (measure of concordance) Spearman’s ρ given in [8]. Moreover, we provide a possible value for that possible, leaving its proof as an open problem. Manuscript profile -
Open Access Article
31 - Processability Theory: Stage-like Development of ‘Copula inversion’ and ‘Negation’ in Iranian EFL Learners’ Writing Performance
Mahin Sadat Tabatabaee Keivan Mahmoodi Abbas Bayati -
Open Access Article
32 - Modeling Extreme Dependence of Tehran Stock Exchange (TSE) to Crude Oil Price: An Approach based on Copula Functions
Hamid Abrishami Mohsen Mehara Mojtaba MohammadianThe 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 MoreThe 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 -
Open Access Article
33 - Comparison of the Dependence Structures of Stochastic Copula-DEA Model
Sima Balak Mohammad Hassan Behzadi Ali Nazari -
Open Access Article
34 - Performance assessment of a complex repairable system with k-out-of-n: G operational scheme and copula repair approach
Dhruv Raghav Suresh Sahani Vijay Singh Shakeeludeen Chaudhary -
Open Access Article
35 - Modeling the operational risk in Iranian commercial banks: case study of a private bank
Omid Momen Alimohammad Kimiagari Eaman Noorbakhsh -
Open Access Article
36 - Forecasting the price of electricity in the cash and advance markets and designing the optimal model for selling electricity in the mentioned markets with the Copola function approach.
Arash Jalebi mahmood khodam hossein mohammadnezhadThe purpose of this article was to predict the price of electricity in the cash and cash markets and to design the optimal model of electricity sales in the aforementioned markets with the Copula function approach. For this purpose, daily information was used in the per MoreThe purpose of this article was to predict the price of electricity in the cash and cash markets and to design the optimal model of electricity sales in the aforementioned markets with the Copula function approach. For this purpose, daily information was used in the period of 1396-1401. In order to forecast, time series models and OLS, GARCH and Copula approaches were used. The results showed that trigonometric functions can well explain the behavior of electricity prices, which is caused by the seasonal behavior of electricity prices during one-year periods. In the random part, the estimated values show that the random component has an average of almost zero and the speed of returning to the average in prices is high. The average of the shocks, their negativity and variance are very small. The small average values of the shocks actually show that the shocks that occurred in the price of the electricity market in Iran are very insignificant and more importantly, these shocks were more of the negative type. Regarding the optimal strategy when entering into futures transactions, our advice to players is to use the Copula-Garch method to calculate the optimal ratios for risk hedging, for two reasons. The need for risk hedging is less and as a result the transaction cost is lower, secondly, due to the existing restrictions and especially the low liquidity in energy exchange transactions, it is practically possible to cover more risk than the cash position Manuscript profile -
Open Access Article
37 - مدلسازی ارتباط شاخص قیمت در بازارهای مالی و رابطه مبادله در اقتصاد ایران (الگوی پرش قیمتی مرتون و رویکرد توابع کاپیولای شرطی)
سیدعبدالمجید جلایی اسفندآبادی نوراله صالحی آسفیجی الهام شیوایی -
Open Access Article
38 - An Optimal Charge Framework Using Multivariate Copula for Day-ahead Scheduling of Electric Vehicle in Parking Lot Providing Power Markets
Mohamad Amin Gharibi Hamed Nafisi Hossein Askarian Abyaneh Amin Hajizadeh -
Open Access Article
39 - Energy Scheduling in Power Market under Stochastic Dependence Structure
Mehdi Farhadkhani -
Open Access Article
40 - Forecasting the Global Gold Price Movement with Marginal Distribution Modeling Approach: An Application of the Copula GARCH Gaussian and t
Mohammad reza Haddadi Younes Nademi Hamed FarhadiGiven the importance of gold prices in financial markets and the economic effects of price fluctuations, the trend of gold price changes in the national and global economy has attracted the attention of many researchers and economic analysts. Therefore, the main purpose MoreGiven the importance of gold prices in financial markets and the economic effects of price fluctuations, the trend of gold price changes in the national and global economy has attracted the attention of many researchers and economic analysts. Therefore, the main purpose of this study is to predict the trend of the global gold price movement. The purpose of this study was to introduce a combined model of the GARCH-Classic and the GARCH-Copula models and to compare them with the Garch family models in order to predict the global gold price trend in the period 01/04/2002 to 26/06/2018. The forecast horizons are 1, 5, 10, and 22 days. The prediction accuracy of these models has been evaluated and compared using RMSE error criterion. Results showed that in short-run prediction horizons, the normal Capula model with GARCH-t distribution and in long run prediction horizon, Capula- t model with the distribution of GARCH-t performs better than competing models. The hybrid model presented in this study has a high potential for predicting the trend of global gold price movement, so using this model for different sector investors, economic analysts, as well as country macro planners, can have valuable results. Manuscript profile -
Open Access Article
41 - Dependence structure and portfolio risk in Iran exchange market by using GARCH-EVT-Copula method
Farhad Ghaffari sahar fathiAbstract In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns s MoreAbstract In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns series. For the joint model, we choose five copuls with different dependence structure such as Frank, Clayton, Gumble, Normal and t-Student copulas. In this research portfolio risk is measured using VaR and CVaR.The statistical sample of this study is the daily exchange rate of USD,EURO, Pound and AED for the free market with 5 working days from September to the end of 1396.Based on the results of the research, using the Akaike information criterion values, the t-student function is the best fitted copula model for investigating the dependency structure.Exchange rates have the same upper and lower tail dependencies. Accordingly, in the markets for boom (severe positive) and stagnation (severe negative), the dependence between the two exchange rates is the same. Manuscript profile -
Open Access Article
42 - The assessment of extreme value theory and Copula - Garch models in prediction of value at risk and the expected short fall in portfolio Investment Company in Tehran stock exchange.
ali alizadeh Mirfeiz FallahThe present study has endeavored to represent a more precise model to calculate the risk of banks in this study by ARIMA-GARCH-COPULA Model has been introduced.In obtaining the iid distributions and variance estimation the mean model and conditional variance have been d MoreThe present study has endeavored to represent a more precise model to calculate the risk of banks in this study by ARIMA-GARCH-COPULA Model has been introduced.In obtaining the iid distributions and variance estimation the mean model and conditional variance have been determined and estimated simultaneously.In so doing, the ARIMA methodology has been employed to model the average return on assets of the study, and for modeling the research conditional variance of GARCH have been applied. Also mean error criterion has been used to compare the different models of VAR estimation, and for the purpose of testing statistical results backtesting methods have been employed. Based on mean error criterion, the proposed model of the study at hand has demonstrated the most accuracy The GEV model derived from the EVT has been ranked second The output of the Dow ranking method, however, has been very similar to one another According to Dow ranking method, the GEV model has had the lowest loss function at 5% level of significance, and at 1% level of significance, the HS model has demonstrated the least loss function. ES calculations have also been carried out for the four models with ARIMA-GARCH-COPULA model showing the least loss. Manuscript profile -
Open Access Article
43 - 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 MinoueiThe 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 MoreThe 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 -
Open Access Article
44 - Copula approach for modeling the structure of oil price dependence and Iranian stock market indices
Mehdi Agabaigi Ali Etemadi Milad SlamianThe purpose of study was to model the relationship between Tehran Stock Exchange indices and oil prices. The statistical population of the present study included total price indices, industry index, price index of 50 companies, and second market index and oil price in t MoreThe purpose of study was to model the relationship between Tehran Stock Exchange indices and oil prices. The statistical population of the present study included total price indices, industry index, price index of 50 companies, and second market index and oil price in the period 2008/09/13 to 2018/11/25. To analyze the data, Copula statistical method was used using R software. Relationship between indices and oil prices was studied using eight capillary normal, Gamble, Clayton, Frank, Jo, Galambos, Hostelries and Copula function, respectively. The results showed that the relationship between the indices and the oil price using the Copula Clayton function was the best. The results showed that the relationship between the indices and the oil price using the Copula Clayton function was the best. Then based on the fitted Copula function, the correlation value was calculated based on Spearman and Kendall correlation coefficients. The results of correlation analysis showed that the correlation between indices and oil prices was positive. most financial variables do not have a normal distribution, the various analyzes used in academic institutions have skewed results, so it is suggested that the relationship between financial variables be modeled using copula and then fitted based on the copula function. Manuscript profile -
Open Access Article
45 - Modeling the latent Volatilities of the stock exchange index using the copula-stochastic Volatility model
Saeed Shahriyari Peyman Iman zadeh mehdi khoshnoodIn 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 MoreIn 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 -
Open Access Article
46 - 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 NajjariThe 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 MoreThe 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 -
Open Access Article
47 - Performance Comparison of tcopula GARCH-LVaR with GARCH-VaR To optimize the portfolio in the Tehran Stock Exchange
Gholam Reza Taghizadegan , Gholamreza Zomorodian rasoul saadi, mirfeyz FallahThe aim of this research is to compare the performance of the value-at-risk model with the liquidity-t-copula approach with dynamic conditional correlation (t-copula-GARCH-LVaR) with the value-at-risk (VaR) model to optimize the portfolio in the Tehran Stock Exchange. I MoreThe aim of this research is to compare the performance of the value-at-risk model with the liquidity-t-copula approach with dynamic conditional correlation (t-copula-GARCH-LVaR) with the value-at-risk (VaR) model to optimize the portfolio in the Tehran Stock Exchange. In the current research, in order to test the desired hypotheses, the period is between 2001 and 2021. All the variables used in this research on a quantitative scale and observations in the form of time series are the daily logarithmic returns of 40 stock market indices, including 39 industry indices and one index of fixed-income bonds from the beginning of September 2011 to the end of July 2021. In this research, to perform the final analysis, all the calculations required for this research were done using the open-source software R 4.2.1. Our results showed that the t-copula-GARCH-LVaR optimization model performs better according to the Sharpe criterion based on Mann–Whitney U test at the 95% test level. Manuscript profile -
Open Access Article
48 - Providing a model of trading volume relationships, transaction value with stock returns and price bubbles in different industries of Tehran Stock Exchange by using COPPOLA functions and GARCH models
jalil beytari hosein panahianThe purpose of this study was to investigate the relationship between volume of transactions and value of transactions with stock returns in the stock exchange and various stock markets during the years 1385 to 1395. To investigate these communications, we used MGJR-GAR MoreThe purpose of this study was to investigate the relationship between volume of transactions and value of transactions with stock returns in the stock exchange and various stock markets during the years 1385 to 1395. To investigate these communications, we used MGJR-GARCH, DCC-GJR-GARCH, diagonal BEKK and COPULA models. Between trading volume changes and stock returns of companies there is a two-way and direct relationship, but the relationship between transaction value and stock returns is one-way, and only the value of transactions that affects stock returns. Also, in the review of variables Researches with volume of transactions revealed that changes in the variables of liquidity volume, annual returns and oil prices with the volume of transactions have a reverse and meaningful relationship, and the returns of companies' shares and the value of transactions with the volume of transactions has a direct and meaningful relationship. Also, other than the volume of transactions, other research variables have a significant relationship with annual stock returns. The volatility of the volatile variables, the volume of liquidity and the price of gold, direct effect, and the changes in the value of transactions and oil prices have a negative effect on the returns of companies. The only variable whose volatility affects the price of oil is the return on shares of the companies. Manuscript profile -
Open Access Article
49 - Measuring portfolio Value at Risk: The application of copula approach
Esmaeil Pishbahar sahar abediDue to the fact that traditional univariate approach in portfolio value at risk measurements ignore the time varying correlation between its components, these models underestimate or overestimate value at risk. In addition, complex financial markets make it necessary to MoreDue to the fact that traditional univariate approach in portfolio value at risk measurements ignore the time varying correlation between its components, these models underestimate or overestimate value at risk. In addition, complex financial markets make it necessary to use effective approaches, such as multivariate risk measurement. Therefore, in this present study, we tried to evaluate four multivariate value at risk measurement approaches for two portfolios in food industry exchange. The result of Christoffersen, quadratic probability score and root mean squared error tests showed copula-based Monte Carlo approach has more reliable result in comparison with others. Hence, we applied this approach to investigate dependence structure and measure risk, and its result showed the maximum expected loss of dairy portfolio value over a week is 2.01 percent, while for sugar portfolio is 1.09 percent. Manuscript profile -
Open Access Article
50 - Estimating the probability of Loss of Credit Portfolio using the sharp asymptotic method and Latent variable model
Mohammad reza Haddadi Reza Maaboudi Saeedeh FallahyanThe purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach MoreThe purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach is used. A Copula function is a new tool that increases the accuracy of the calculation of this probability. Gaussian Copulas cannot simulate the dependence between the members of the portfolio. For this reason, the T- Copula method has been used as an alternative model in this paper. The T-Copula pattern, in contrast to the normal Copula method, supports the extreme dependence between variables. The structure of a multivariate distribution t is the ratio of a multivariate normal distribution on the second root of a Chi-square random variable. If the denominator of the distribution chooses values close to zero, then the corresponding vector coordinates of the random variables are distributed t , Can record large joint movements. The Chi-square random variable plays "common shock" roles. The present study, using the hidden variables method, has calculated the probable unpredictability of loss for a heterogeneous portfolio of given facilities consisting of 250 borrowers. For this purpose, based on the type of borrowed loans, borrowers are divided into three groups. Using the Monte Carlo simulation method, the probability of a loss in this portfolio is estimated, then the residue levels in each group of agents and the total amount of exposure are calculated. The findings showed that, considering the degree of freedom 2 for the distribution of the student's t-test related to the vector of hidden variables, the maximum probability of loss of credit portfolio Has been 11.01. Manuscript profile -
Open Access Article
51 - The investigate Irregular Behavioral Stock, Stock Expects and Stock Returns Using the Liponov and Kolmogorov Method and BDS in the Tehran Stock Exchange with an Emphasis on Copula Garch and Copula TGarch
mohammadreza Navaeian Mohammadreza Vatanparast Hadi Saeidi Shaban MohammadiThe purpose of this study was to investigate irregular behavior in stock prices, investors' expectations and stock returns using the Liponov index and the Kolmogorov index. It also analyzes the related behavior of stock prices, investors' expectations and stock returns MoreThe purpose of this study was to investigate irregular behavior in stock prices, investors' expectations and stock returns using the Liponov index and the Kolmogorov index. It also analyzes the related behavior of stock prices, investors' expectations and stock returns during the period of 2012-2018 in Tehran Stock Exchange. The BDS method was used to detect and measure irregular behavior. Copula Garch and Copula T-Gearch were used to study the joint motion among selected variables. The results showed that stock prices and stock returns are irregular according to the Liponov index and the Kolmogorov index. There is a significant evidence of a nonlinear sequence dependent between stock price fluctuations, investor expectations and stock returns. In addition, the high and low dependence sequence and the mobility between the analyzed series were confirmed. Also, fluctuations in stock prices have a huge impact on stock returns and long-term investor expectations of Capoula Garch and Kapila T-GARCH. Manuscript profile -
Open Access Article
52 - Modeling The Dependency Of Stock Price Carsh With Approach On The Conditional Copula -Garch Function And Its Relationship With The Rational Stock Pricing Structure
Vali Khodadadi Soheila Lashgarara Esmaeil Mazaheri Mohammad Ayati MehrThe current research has been done with the aim of modeling the dependence of stock price carsh with emphasis on the conditional Copula-Garch function and its relationship with price bubbles based on the rational stock pricing structure in the Iranian capital market. In MoreThe current research has been done with the aim of modeling the dependence of stock price carsh with emphasis on the conditional Copula-Garch function and its relationship with price bubbles based on the rational stock pricing structure in the Iranian capital market. In order to investigate and analyze the research questions, the data related to 30 companies admitted to the Tehran Stock Exchange for the period of 2010 to 2021 were extracted and used to test the research questions. In this research, first, the variable of price bubbles was estimated and extracted by estimating of the capital assets pricing models.Then, in order to model the correlation structure and stock return fluctuations of the sample companies, the multivariate GARCH model of dynamic conditional correlation approach with copula distribution was used. In the following, using the modeling output, the value at risk was calculated as a criterion for assessing the fall in stock prices. The results of the research showed that there is no significant relationship between stock price falls and bubbles based on the rational stock pricing structure. In other words, in the environmental conditions of our country, the condition of falling stock prices in line with the formed price bubbles is not based on rational stock pricing. Manuscript profile -
Open Access Article
53 - The Lindley-Lindley Distribution: Characterizations, Copula, Properties, Bayesian and Non-Bayesian Estimation
Christophe Chesneau Haitham Yousof G. Hamedani Mohamed Ibrahim -
Open Access Article
54 - Dimension Reduction of Big Data and Deleting Noise and Its Efficiency in the Decision Tree Method and Its Use in Covid 19
Fazel Badakhshan Farahabadi Kianoush Fathi Vajargah Rahman Farnoosh
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