BIST100 Bankacılık Sektöründeki Bağımlılığın Asma Kopula ile İncelenmesi

Date

2023-06-01

Author

Yıldırım Külekci, Bükre
Poyraz, Gülden
Gür, Ismail
Evkaya, Ozan

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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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.

URI

https://iupress.istanbul.edu.tr/tr/journal/ije/article/bist100-bankacilik-sektorundeki-bagimliligin-asma-kopula-ile-incelenmesi
https://hdl.handle.net/11511/104558

Collections

Graduate School of Applied Mathematics, Article