Results 101 to 110 of about 4,426 (211)

Bayesian Nonparametric Mixtures of Archimedean Copulas

Journal of Agricultural, Biological and Environmental Statistics
Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian nonparametric mixture of Archimedean copulas is introduced to increase the flexibility of copula-based dependence ...
Pan, Ruyi, Nieto-Barajas, Luis E., Craiu, Radu V.   +2 more
openaire   +2 more sources

COMPARISON OF COPULA FAMILY (GAUSSIAN, ARCHIMEDEAN, AND REGRESSION) IN A CASE STUDY OF COMPOSITE STOCK PRICE INDEX ON INDONESIA STOCK EXCHANGE

Barekeng
Stocks are one of the most popular financial market instruments. On the other hand, stocks are an investment instrument that is widely chosen by investors because stocks are able to provide attractive profit levels.
Darwis Darwis, Bagus Sartono, Leny Yuliani   +2 more
doaj   +1 more source

Hierarchical Archimedean Copulae

, 2012
This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
openaire   +1 more source

Copula estimation for nonsynchronous financial data

, 2020
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data.
Chakrabarti, Arnab, Sen, Rituparna
core  

Reliability analysis of parallel systems with dependent components and Archimedean copulas

Journal of Inequalities and Applications
In this paper, preservation properties of reversed hazard rate order and a relative overall reversed hazard rate order under the structure of a parallel system with dependent components having lifetimes coupled by an Archimedean copula are established ...
Mashael A. Alshehri
doaj   +1 more source

Modeling Dependencies in Finance using Copulae [PDF]

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae.
Ostap Okhrin, Wolfgang Härdle, Yarema Okhrin   +2 more
core  

Stochastic ordering results on extreme order statistics from dependent samples with Archimedean copula

Journal of Inequalities and Applications
This paper considers parallel and series systems with heterogeneous components having dependent exponential lifetimes. The underlying dependence is assumed to be Archimedean and the component lifetimes are supposed to be connected according to an ...
Mansour Shrahili
doaj   +1 more source

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core   +1 more source

Constructing and generalizing multivariate copulas: a generalizing approach [PDF]

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
core  

A note on stochastic survival probabilities and their calibration [PDF]

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x.
Elena Vigna, Elisa Luciano, Jaap Spreeuw
core