Results 51 to 60 of about 33,492 (216)
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
Goodness‐of‐Fit Tests for Positive Quadrant Dependence
International Statistical Review, EarlyView.Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
wiley +1 more source
False Discovery Rate Control under Archimedean Copula
, 2014 We are concerned with the false discovery rate (FDR) of the linear step-up test φLSU considered by Benjamini and Hochberg (1995). It is well known that φLSU controls the FDR at level m0q/m if the joint distribution of p-values is multivariate totally ...
Bodnar, Taras, Dickhaus, Thorsten
core +1 more source
Modelling cascading effects for systemic risk: Properties of the Freund copula
Dependence Modeling, 2019 We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents.
Guzmics Sándor, Pflug Georg Ch.
doaj +1 more source
Advances in Meteorology, 2023 The univariate analysis of hydrological extremes is a well-established practice in developing countries such as Ethiopia. However, for the design of hydrological and hydraulic systems, it is essential to have a thorough understanding of flood event ...
Mesfin Mamo Haile +4 more
doaj +1 more source
Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley +1 more source
A two-component copula with links to insurance
Dependence Modeling, 2017 This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors.
Ismail S., Yu G., Reinert G., Maynard T.
doaj +1 more source
Nonparametric Conditional Copula Density Estimation With Applications to the Body Mass Index
Stat, Volume 15, Issue 4, December 2026.ABSTRACT This study develops a nonparametric conditional copula density estimator that features a parametric carrier copula refined by an exponential series adjustment. We adopt the local likelihood approach for conditional distribution estimation and incorporate the influence of covariates via kernel smoothing.
Michael Z. Wu, Lan Zhou
wiley +1 more source
Exploring Two Modified Ali-Mikhail-Haq Copulas and New Bivariate Logistic Distributions
Pan-American Journal of MathematicsThe Ali-Mikhail-Haq copula is a bivariate ratio-type Archimedean copula known for its simplicity and flexibility in modeling moderate negative and positive dependence structures, making it widely used in various fields.
Christophe Chesneau
doaj +1 more source
Spatial and Temporal Patterns of Extreme Hourly Rainfall in the Hawaiian Islands
International Journal of Climatology, Volume 46, Issue 12, October 2026.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