Results 41 to 50 of about 32,199 (223)
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
doaj +1 more source
Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2019 Abstract A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk.
Fontanari, A. (author) +2 more
openaire +4 more sources
Vine copula knockoffs for variable selection in gene expression studies
Canadian Journal of Statistics, EarlyView.Abstract Identifying clinical and genetic markers is essential for stratifying cancer patients by survival outcomes and guiding personalized treatment strategies. However, gene expression studies often involve high‐dimensional predictors with mixed data types and complex dependence, which complicates reliable variable selection.
José Ulises Márquez Urbina +3 more
wiley +1 more source
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oliver Grothe, Marius Hofert
openaire +2 more sources
Copula models in machine learning [PDF]
, 2015 The introduction of copulas, which allow separating the dependence structure of a multivariate distribution from its marginal behaviour, was a major advance in dependence modelling.
Rey, Mélanie
core +1 more source
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling, 2019 Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
doaj +1 more source
Spatial and Temporal Patterns of Extreme Hourly Rainfall in the Hawaiian Islands
International Journal of Climatology, EarlyView.The extreme rainfall trends in Hawaiʻi were revealed by hourly rainfall data: Across islands, Kauaʻi and Hawaiʻi Island had larger events at a return period. Annual maximum series of 15 gauges showed significant positive trends. While extreme rainfall trends show increases or decreases regionally, the trends varied with rainfall duration.
Maxime Gayte +5 more
wiley +1 more source
International Journal of Climatology, EarlyView.The changes in joint return period of compound meteorological hot‐dry (CMHHE) and hot‐wet (CMHWE) and compound hydrological hot‐dry (CHHDE) and hot‐wet (CHHWE) extremes were attributed to changes in associated univariate extremes and their dependence.
Ruting Yang +6 more
wiley +1 more source
Copulas in finance and insurance [PDF]
, 2008 Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance.
Romera, Rosario, Molanes, Elisa M.
core +1 more source
Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source