Dependence structure between Iranian financial system’ s sub sectors: a vine copula approach

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Khalili Soheil; TEHRANI REZA

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:30 Page(s): 51-71

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Title

Dependence structure between Iranian financial system’ s sub sectors: a vine copula approach

Author(s)

Khalili Soheil | TEHRANI REZA | Issue Writer Certificate

Keywords

dependence structureQ1

copulaQ1

pair wise vine constructionsQ1

Value at RiskQ1

Abstract

In 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.

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APA: Copy

Khalili, Soheil, & TEHRANI, REZA. (2019). Dependence structure between Iranian financial system’ s sub sectors: a vine copula approach. INVESTMENT KNOWLEDGE, 8(30 ), 51-71. SID. https://sid.ir/paper/388588/en

Vancouver: Copy

Khalili Soheil, TEHRANI REZA. Dependence structure between Iranian financial system’ s sub sectors: a vine copula approach. INVESTMENT KNOWLEDGE[Internet]. 2019;8(30 ):51-71. Available from: https://sid.ir/paper/388588/en

IEEE: Copy

Soheil Khalili, and REZA TEHRANI, “Dependence structure between Iranian financial system’ s sub sectors: a vine copula approach,” INVESTMENT KNOWLEDGE, vol. 8, no. 30 , pp. 51–71, 2019, [Online]. Available: https://sid.ir/paper/388588/en

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