Results 21 to 30 of about 489 (106)
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Dependence Modeling, 2018 Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse ...
Jin Xisong, Lehnert Thorsten
doaj +1 more source
Probabilistic derivation of a bilinear summation formula for the Meixner‐Pollaczek polynominals
International Journal of Mathematics and Mathematical Sciences, Volume 3, Issue 4, Page 761-771, 1980., 1980 Using the technique of canonical expansion in probability theory, a bilinear summation formula is derived for the special case of the Meixner‐Pollaczek polynomials which are defined by the generating function These polynomials satisfy the orthogonality condition with respect to the weight function
P. A. Lee
wiley +1 more source
Inference for copula modeling of discrete data: a cautionary tale and some facts
Dependence Modeling, 2017 In this note, we elucidate some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula ...
Faugeras Olivier P.
doaj +1 more source
Multivariate medial correlation with applications
Dependence Modeling, 2020 We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist’s β coefficient, incorporates multivariate marginal dependencies and it preserves a partial ordering stronger than ...
Ferreira Helena, Ferreira Marta
doaj +1 more source
Copula modeling for discrete random vectors
Dependence Modeling, 2020 Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar’s theorem, “the fundamental theorem of copulas”, makes a clear distinction between the continuous case and the ...
Geenens Gery
doaj +1 more source
, 2015 The purpose of this paper is to clarify the conditions for consistency of the loglikelihood-based information criteria in canonical correlation analysis of qand p-dimensional random vectors when the dimension p is large but does not exceed the sample ...
Keisuke Fukui
semanticscholar +1 more source
Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?
Dependence Modeling, 2018 Some empirical studies suggest that the computation of certain graph structures from a (large) historical correlation matrix can be helpful in portfolio selection.
Hüttner Amelie +2 more
doaj +1 more source
Optimizing effective numbers of tests by vine copula modeling
Dependence Modeling, 2020 In the multiple testing context, we utilize vine copulae for optimizing the effective number of tests. It is well known that for the calibration of multiple tests for control of the family-wise error rate the dependencies between the marginal tests are ...
Steffen Nico, Dickhaus Thorsten
doaj +1 more source
Distorted Copulas: Constructions and Tail Dependence [PDF]
, 2010 Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula.
Avérous J. +20 more
core +2 more sources
New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
doaj +1 more source