scholarly journals Analysis of the dependence structure for time series of hedge funds returns

2021 ◽  
Author(s):  
He Zhu
Keyword(s):  
Time Series ◽  
Hedge Funds ◽  
Pearson Correlation ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Kendall’S Tau ◽  
Multiple Strategies ◽  
Linear Relationships ◽  
Hedge Funds Returns ◽  
Dependence Measures

The aim of the thesis is to emphasize the different dependence measures beyond the well known Pearson correlation. The study is developed in the setting of a fund that deals with multiple strategies hedge funds under risk constraints. The relevance of our analysis is made clears by noticing that the Pearson correlation is sensitive only to linear relationships and it does not capture tail co-movements. Specifically, the dependence measures we focus are Kendall's tau, Spearman's rho and tail dependence. This thesis attempts to suggest some other solutions to an effective optimization that combines various fund strategies by using the aforementioned dependence measures.

scholarly journals Analysis of the dependence structure for time series of hedge funds returns

2021 ◽  
Author(s):  
He Zhu
Keyword(s):  
Time Series ◽  
Hedge Funds ◽  
Pearson Correlation ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Kendall’S Tau ◽  
Multiple Strategies ◽  
Linear Relationships ◽  
Hedge Funds Returns ◽  
Dependence Measures

The aim of the thesis is to emphasize the different dependence measures beyond the well known Pearson correlation. The study is developed in the setting of a fund that deals with multiple strategies hedge funds under risk constraints. The relevance of our analysis is made clears by noticing that the Pearson correlation is sensitive only to linear relationships and it does not capture tail co-movements. Specifically, the dependence measures we focus are Kendall's tau, Spearman's rho and tail dependence. This thesis attempts to suggest some other solutions to an effective optimization that combines various fund strategies by using the aforementioned dependence measures.

scholarly journals Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 55
Author(s):  
Prince Osei Mensah ◽  
Anokye M. Adam
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Tail Dependence ◽  
Time Range ◽  
Dependence Structure ◽  
Joint Movement ◽  
Positive Dependence ◽  
Study Results ◽  
Foreign Currencies ◽  
Dependence Measures

This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19 December 2019. We use different sets of both static (time-invariant) and time-varying copulas with different levels of dependence and tail dependence measures, and the study results reveal positive dependence between all exchange rates pairs, though the dependencies for EUR-USD and GBP-USD pairs are not as strong as the EUR-GBP pair. The findings also reveal symmetric tail dependence, and dependence evolves over time. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency pairs. The afore-mentioned findings, therefore, offer forex market players the opportunity to relax in hoarding a particular foreign currency in anticipation of domestic currency depreciation.

scholarly journals Co-Movement of Forex Rate and Share Price of Pakistan Stock Exchange - An Application of Copula Models

2020 ◽  
Vol V (III) ◽  
pp. 78-87
Author(s):  
Muhammad Nouman Latif ◽  
Nasir Ali ◽  
Anjum Shahzad
Keyword(s):  
Time Series ◽  
Joint Distribution ◽  
Stock Exchange ◽  
Tail Dependence ◽  
Share Price ◽  
Series Data ◽  
Dependence Structure ◽  
Complex Nature ◽  
Copula Models ◽  
The Relationship

This paper examines the relationship between the forex rate and the share price of the Pakistan Stock Exchange. The study provides additional understating of the complex nature of the relationship among bi-variate time series using the Copula model. Copula models are best suited to find the co-movement of time series data integrating the possible latent structure of the relationship through estimation of joint distribution with the help of marginal distribution of each time series variable. Alike from the traditional time series analysis, Copula models are best suited to estimate the complex relationship, specifically the tail dependence structure of joint distribution of the variables. Results of the study highlight a significant two-sided tail dependence structure between the Forex rate and share price of the Pakistan Stock Exchange.

scholarly journals A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market

2010 ◽  
Vol 45 (3) ◽  
pp. 763-789 ◽  
Author(s):  
Byoung Uk Kang ◽  
Francis In ◽  
Gunky Kim ◽  
Tong Suk Kim
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Investment Horizon ◽  
Copula Theory ◽  
Historical Simulation ◽  
Asymmetric Dependence ◽  
Current Availability ◽  
Hedge Fund Returns

AbstractThis paper reexamines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the filtered historical simulation; we then apply the method based on copula theory to uncover the dependence structure therein. While the direction of asymmetry remains unchanged, the magnitude of asymmetry is attenuated considerably as the investment horizon increases. Similar horizon effects also occur on the tail dependence. Our findings suggest that nonlinearity in hedge fund exposure to market risk is more short term in nature, and that hedge funds provide higher benefits of diversification, the longer the horizon.

scholarly journals An analysis of dependence between oil price and stock market with Copula-Garch approach: An empirical analysis from Istanbul stock exchange

2019 ◽  
Vol 23 (Suppl. 1) ◽  
pp. 33-46 ◽  
Author(s):  
Ayse Metin-Karakas
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Tail Dependence ◽  
Oil Prices ◽  
Oil Price ◽  
Dependence Structure ◽  
Istanbul Stock Exchange ◽  
Non Linear ◽  
Dependence Measures ◽  
Risk Managers

This paper examines the dependence structure between National 100, National 50, and National 30 Indices of Istanbul Stock Exchange and international Brent oil price by using copula-GARCH method. Linear correlation has a serious deficiency. Whereas copula method is not invariant under non-linear strictly increasing transformation. Meanwhile the dependence measures derived from copulas can overcome this shortcoming and have broader applications. Furthermore, copulas can be used to describe more complex multivariate dependence structures, such as non-linear and tail dependence. In this study, we covered the period from March 14, 2001 to March 23, 2018 by using daily prices. Our findings suggest that there is a weak dependence structure between Istanbul Stock Exchange and Brent oil prices which may have significant implications for policymakers, investors and risk managers in terms of the relationship between oil prices and the stock market.

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