Dependence Analysis of the ISE100 Banking Sector Using Vine Copula
The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index using time series and regular vine (R-vine) copula...
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| Format: | Article |
| Language: | English |
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Istanbul University Press
2023-06-01
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| Series: | İstanbul İktisat Dergisi |
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| Online Access: | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/E68EA99C09484EC7BB0101A794A3AFB5 |
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| author | Bükre Yıldırım Külekci Gülden Poyraz İsmail Gür Ozan Evkaya |
| author_facet | Bükre Yıldırım Külekci Gülden Poyraz İsmail Gür Ozan Evkaya |
| author_sort | Bükre Yıldırım Külekci |
| collection | DOAJ |
| description | The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index using time series and regular vine (R-vine) copula models. The study calculates the risk measures of value-at-risk (VaR) and expected shortfall (ES) and tests with backtesting methods for the portfolio that are constructed by equally weighting the banking stocks. This study’s findings on banking stocks specifically indicate that the application of the R-vine copula combined with the generalized auto-regressive conditional heteroskedasticity (GARCH) model improved the VaR and ES estimates compared to traditional GARCH-based approaches.. |
| format | Article |
| id | doaj-art-b7e0d58ee8d442bbbaeb520ee8455135 |
| institution | OA Journals |
| issn | 2602-3954 |
| language | English |
| publishDate | 2023-06-01 |
| publisher | Istanbul University Press |
| record_format | Article |
| series | İstanbul İktisat Dergisi |
| spelling | doaj-art-b7e0d58ee8d442bbbaeb520ee84551352025-08-20T02:28:28ZengIstanbul University Pressİstanbul İktisat Dergisi2602-39542023-06-01731558210.26650/ISTJECON2022-1229039123456Dependence Analysis of the ISE100 Banking Sector Using Vine CopulaBükre Yıldırım Külekci0https://orcid.org/0000-0002-1246-9549Gülden Poyraz1https://orcid.org/0000-0002-8324-6270İsmail Gür2https://orcid.org/0000-0001-7014-4606Ozan Evkaya3https://orcid.org/0000-0002-5076-8144Kaiserslautern Teknik Üniversitesi, Kaiserslautern, AlmanyaBandırma On Yedi Eylül Üniversitesi, Balikesir, TurkiyeHacettepe Üniversitesi, Ankara, TurkiyeUniversity of Edinburgh, Edinburgh, United-KingdomThe frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index using time series and regular vine (R-vine) copula models. The study calculates the risk measures of value-at-risk (VaR) and expected shortfall (ES) and tests with backtesting methods for the portfolio that are constructed by equally weighting the banking stocks. This study’s findings on banking stocks specifically indicate that the application of the R-vine copula combined with the generalized auto-regressive conditional heteroskedasticity (GARCH) model improved the VaR and ES estimates compared to traditional GARCH-based approaches..https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/E68EA99C09484EC7BB0101A794A3AFB5vine copulafinancial marketrisk measures |
| spellingShingle | Bükre Yıldırım Külekci Gülden Poyraz İsmail Gür Ozan Evkaya Dependence Analysis of the ISE100 Banking Sector Using Vine Copula İstanbul İktisat Dergisi vine copula financial market risk measures |
| title | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula |
| title_full | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula |
| title_fullStr | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula |
| title_full_unstemmed | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula |
| title_short | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula |
| title_sort | dependence analysis of the ise100 banking sector using vine copula |
| topic | vine copula financial market risk measures |
| url | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/E68EA99C09484EC7BB0101A794A3AFB5 |
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