Results 111 to 120 of about 32,199 (223)

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Dynamic stochastic copula models: Estimation, inference and applications [PDF]

We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
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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.
Yarema Okhrin, Wolfgang Härdle, Ostap Okhrin   +2 more
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Risk aggregation, dependence structure and diversification benefit [PDF]

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC).
Bürgi, Roland, Dacorogna, Michel M, Iles, Roger   +2 more
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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

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

Method to choose a archimedean copula optimal

, 2012
Actualmente las Cópulas son una herramienta muy fuerte para el modelamiento de datos en los que la dependencia entre variables aleatorias es importante y el supuesto de normalidad no se tiene.
Moreno Chavarro, Diana Carolina
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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

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting [PDF]

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich ...
Dean Fantazzini, Alessandro Carta, Mario A. Maggi, Carluccio Bianchi, Maria Elena De Giuli   +4 more
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Can crop yield risk be globally diversified? [PDF]

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Wei Xu, Martin Odening, Xiaoliang Liu
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