Understanding the underlying mechanism of influence that is present in the financial market is a great challenge. In this work, the conditional copula function is presented. In some contexts, the dependence structure between two variables can be highly influenced by one or more covariates, so it is of interest to know how this dependence structure changes with the value taken by the covariates. An application is carried out to estimate the influence of economic sectors on 46 large companies included in the EUROSTOXX50.
Conditional copula a financial application
Marta Nai Ruscone;
2022-01-01
Abstract
Understanding the underlying mechanism of influence that is present in the financial market is a great challenge. In this work, the conditional copula function is presented. In some contexts, the dependence structure between two variables can be highly influenced by one or more covariates, so it is of interest to know how this dependence structure changes with the value taken by the covariates. An application is carried out to estimate the influence of economic sectors on 46 large companies included in the EUROSTOXX50.
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