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copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas [PDF]
, 2014 The use of copula-based models in EDAs (estimation of distribution algorithms) is currently an active area of research. In this context, the copulaedas package for R provides a platform where EDAs based on copulas can be implemented and studied.
Gonzalez-Fernandez, Yasser, Soto, Marta
core +4 more sources
Stochastic Comparisons of Extreme Order Statistics in the Heterogeneous Exponentiated Scale Model [PDF]
Journal of Statistical Theory and Applications (JSTA), 2017 The effect of heterogeneity on order statistics has attracted much attention in recent decades. In this paper, first, we discuss stochastic comparisons of extreme order statistics from independent heterogeneous exponentiated scale samples.
Esmaeil Bashkar +2 more
doaj +1 more source
Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence [PDF]
, 2014 Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain,
Ames, Matthew +3 more
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Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Cooray Kahadawala
doaj +1 more source
, 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.
Ling, Chun Kai +2 more
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VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH
BarekengInvestment 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 +3 more
doaj +1 more source
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
Dependence Modeling, 2016 An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful.
Di Bernardino Elena, Rullière Didier
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ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
E-Jurnal Matematika, 2017 Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO +2 more
doaj +1 more source
, 2009 Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events.
Gudendorf, Gordon, Segers, Johan
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BarekengFluctuations in exchange rates and foreign stock indices strongly influence domestic stock performance, particularly in the banking sector, which is highly sensitive to global economic dynamics.
Alfi Khairiati +2 more
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