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VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH [PDF]

Barekeng
Investment is one of the many ways to achieve future profits. One form of investment that is widely made is stocks. The return obtained in investing in stocks is potentially higher than other investment alternatives, but the risks borne are amplified, so
Mohammad Dicky Saifullah, Umu Sa'adah, Kwardiniya Andawaningtyas, Endang Wahyu Handamari   +3 more
doaj   +2 more sources

Penalized estimation of hierarchical Archimedean copula

Journal of Multivariate Analysis
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ostap Okhrin, Alexander Ristig
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Convergence of Archimedean copulas [PDF]

Statistics & Probability Letters, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, Arthur, Segers, Johan
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On convergence of associative copulas and related results

Dependence Modeling, 2021
Triggered by a recent article establishing the surprising result that within the class of bivariate Archimedean copulas 𝒞ar different notions of convergence - standard uniform convergence, convergence with respect to the metric D1, and so-called weak ...
Kasper Thimo M., Fuchs Sebastian, Trutschnig Wolfgang   +2 more
doaj   +1 more source

On Construction of Bernstein-Bézier Type Bivariate Archimedean Copula

Revstat Statistical Journal, 2022
In this paper, a new class of bivariate multi-parameter Archimedean copula based on Kendall distribution using Bernstein-Bézier polynomials is introduced. The new class copula has flexible dependence properties depending on the polynomial degree and the
Selim Orhun Susam , Burcu Hudaverdi
doaj   +1 more source

Deep Archimedean Copulas

CoRR, 2020
A central problem in machine learning and statistics is to model joint densities of random variables from data. Copulas are joint cumulative distribution functions with uniform marginal distributions and are used to capture interdependencies in isolation from marginals.
Chun Kai Ling, Fei Fang 0001, J. Zico Kolter   +2 more
openaire   +4 more sources

Assessing the Adaptation of Internet of Things (IoT) Barriers for Smart Cities’ Waste Management Using Fermatean Fuzzy Combined Compromise Solution Approach

IEEE Access, 2022
This study proposes a systematic methodology of the adoption of Internet of Things (IoT) barriers (IoTBs) that exist in the waste management structures of smart cities (SCs) in growing economies likely India.
Arunodaya R. Mishra, Pratibha Rani, Abhijit Saha, Ibrahim M. Hezam, Dragan Pamucar, Minja Marinovic, Kiran Pandey   +6 more
doaj   +1 more source

Quantile Regression Based on the Weighted Approach with Dependent Truncated Data

Mathematics, 2023
This paper discusses the estimation of parameters in the quantile regression model for dependent truncated data. To account for the dependence between the survival time and the truncated time, the Archimedean copula model is used to construct the ...
Jin-Jian Hsieh, Cheng-Chih Hsieh
doaj   +1 more source

Properties of hierarchical Archimedean copulas [PDF]

Statistics & Risk Modeling, 2013
Abstract In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.
Ostap Okhrin, Yarema Okhrin, Wolfgang Schmid   +2 more
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Archimedean copulae and positive dependence [PDF]

Journal of Multivariate Analysis, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
MUELLER A, SCARSINI, MARCO
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