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An application of copulas in modeling interest rate and equity returns in the Egyptian market
Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decad...
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| Format: | Thesis |
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AUC Knowledge Fountain
2018
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| _version_ | 1867613410397519872 |
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| access_status_str | Open Access |
| author | Abuallail, Ibrahim Mohamed |
| author_browse | Abuallail, Ibrahim Mohamed |
| author_facet | Abuallail, Ibrahim Mohamed |
| author_sort | Abuallail, Ibrahim Mohamed |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. |
| description | Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decades, copulas have become an invaluable tool in risk management, given their applicability in assessing the co-movement of assets in financial portfolios. However, no attempts to employ these functions in modeling interest rate and stocks in the Egyptian market have been made. This research focuses on assessing the individual as well as the group behavior of a portfolio of bonds and stocks in the Egyptian market across the past decade through finding and fitting the most appropriate marginal distribution functions and a copula function. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-1490 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:42.290Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-1490 An application of copulas in modeling interest rate and equity returns in the Egyptian market Abuallail, Ibrahim Mohamed Despite existing in the statistical literature since the early 20th century, copulas have only started to become widely applied to areas such as finance, economics, and actuarial science in the 21st century. With several economic crises plaguing the world at a greater frequency in the past few decades, copulas have become an invaluable tool in risk management, given their applicability in assessing the co-movement of assets in financial portfolios. However, no attempts to employ these functions in modeling interest rate and stocks in the Egyptian market have been made. This research focuses on assessing the individual as well as the group behavior of a portfolio of bonds and stocks in the Egyptian market across the past decade through finding and fitting the most appropriate marginal distribution functions and a copula function. 2018-06-01T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/491 https://fount.aucegypt.edu/context/etds/article/1490/viewcontent/Thesis_20Final_Ibrahim_20Abuallail.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. Theses and Dissertations AUC Knowledge Fountain Copulas Econometrics |
| spellingShingle | Copulas Econometrics Abuallail, Ibrahim Mohamed An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title | An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title_full | An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title_fullStr | An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title_full_unstemmed | An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title_short | An application of copulas in modeling interest rate and equity returns in the Egyptian market |
| title_sort | application of copulas in modeling interest rate and equity returns in the egyptian market |
| topic | Copulas Econometrics |
| url | https://fount.aucegypt.edu/etds/491 https://fount.aucegypt.edu/context/etds/article/1490/viewcontent/Thesis_20Final_Ibrahim_20Abuallail.pdf |
| work_keys_str_mv | AT abuallailibrahimmohamed anapplicationofcopulasinmodelinginterestrateandequityreturnsintheegyptianmarket AT abuallailibrahimmohamed applicationofcopulasinmodelinginterestrateandequityreturnsintheegyptianmarket |