Copulas and the Egyptian Stock Market

I've been interested in Copulas (or copulae) for some time. Although my work does not directly work with risk analysis, I find it fun sometimes to play around with some Egyptian data. I wrote a small report describing a copula based dependence analysis between a market index and a stock from the index family. While trivial and evidently a toy model, it was interesting to compare copula functions and their respective fit to the empirical data.

I am not aware of any current empirical research regarding this topic to Egyptian equities markets. If you are aware of researchers, please let me know!

You can find the paper here. Sweave here.

PS: This code is a rework of David Ruppert's example in Statistics and Data Analysis for Financial Engineering.

PPS: I am currently working on integrating SyntaxHighlighter in my blog so the code will be visible in post (and nicely formatted too!)

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