Results 121 to 130 of about 32,199 (223)

Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach [PDF]

As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a ...
Larsen, Ryan A., Vedenov, Dmitry V., Leatham, David J.   +2 more
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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

Inference for overparametrized hierarchical Archimedean copulas

Journal of Multivariate Analysis
Hierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the model structure may lead to over-fitting when the model estimation procedure is not performed properly.
Samuel Perreault, Yanbo Tang, Ruyi Pan, Nancy Reid   +3 more
openaire   +3 more sources

Value at Risk Computation in a Non-Stationary Setting [PDF]

This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series.
Dominique Guegan
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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  

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

CDO and HAC [PDF]

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś, Wolfgang Härdle, Ostap Okhrin   +2 more
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Inference in multivariate Archimedean copula models

Archimedean copula, Consistency, Frailty, Kendall distribution, Probability integral transform, Radial distribution, Simplex distribution, Weak convergence, 62G05, 62G20, 62H12, 62H20,
Johanna Nešlehová, Christian Genest, Johanna Ziegel   +2 more
core   +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  

Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]

The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
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