Financial Dependence Analysis: Vine and CD Vine Copula Approaches

This study consists of five sections: introduction, previous studies, material method, findings and results. In the first part, information was given about the importance of copula function.In the second part, information was given about the studies on the financial field related to copula and CD Vine copula. In the third part the copula function, CD Vine copula function, some special probability distributions and time series analysis. ARCH - GARCH method definitions and theories are emphasized. In the fourth part, some special world indices were taken and applied in the financial field. In our first application, descriptive statistics for the data set and yield series and the graphs that provide the change over the years related to them are given. In our second application, we have obtained the best possible probability distribution for our data set. In the third part of our application, the marginals of the return series are modeled with appropriate time series models. In the fourth part of our application, the appropriate branching method was chosen for the dependency structure of the financial variables selected by using the CD Vine copula method for our data set. In the fifth part, the results and recommendations of the practices we have made in the financial field have been given.