Results 41 to 50 of about 927 (219)
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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On generators in Archimedean copulas
Sahand Communications in Mathematical Analysis, 2017 Summary: This study, after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The generated new family is able to model the low dependence structures.
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Time Varying Hierarchical Archimedean Copulae [PDF]
SSRN Electronic Journal, 2010 There is increasing demand for models of time-varying and non-Gaussian dependencies for multivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non ...
Wolfgang Karl Härdle +2 more
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Archimedean Copula, generator and association parameter.
, 2013 Archimedean Copula, generator and association parameter.
Junlin Liu (483138) +5 more
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Densities of nested Archimedean copulas
Journal of Multivariate Analysis, 2013 Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap.
Marius Hofert, David Pham
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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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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
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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
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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
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
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