Results 111 to 120 of about 4,366 (211)

Dependence structures in financial time series: a chaos-theoretic approach [PDF]

Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series.
Rodney C Wolff
core   +1 more source

Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J., Köck, Christian, Schlüter, Stephan, Weigert, Florian   +3 more
core  

On the Distortion of a Copula and its Margins [PDF]

This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
core   +1 more source

Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi

Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2016
In this paper, copula approach was applied to determine the dependence structure the two indices (PPI and CPI). Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used.
Ayça Büyükyılmaz
doaj  

On the Ratio-Type Family of Copulas

Mathematics
Investigating dependence structures across various fields holds paramount importance. Consequently, the creation of new copula families plays a crucial role in developing more flexible stochastic models that address the limitations of traditional and ...
Farid El Ktaibi, Rachid Bentoumi, Mhamed Mesfioui   +2 more
doaj   +1 more source

MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS

Revista Colombiana de Estadística, 2009
Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
doaj  

Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj  

Application of the Joint Frailty Copula Model for Analyzing Time to Relapse and Time to Death of Women with Cervical Cancer. [PDF]

Int J Womens Health, 2023
Shewa Gari F, Fenta Biru T, Endale Gurmu S.   +2 more
europepmc   +1 more source

An information ratio-based goodness-of-fit test for copula models on censored data. [PDF]

Biometrics, 2023
Sun T, Cheng Y, Ding Y.
europepmc   +1 more source

Copula-based multivariate analysis of hydrological drought over jiabharali sub-basin of Brahmaputra River, India. [PDF]

Sci Rep
Chakma B, Jhajharia D, Yurembam GS, Patle GT, Robert P, Saha S, Sharma APM, Singh SK.   +7 more
europepmc   +1 more source