Results 61 to 70 of about 4,366 (211)
Extremal behavior of Archimedean copulas [PDF]
Advances in Applied Probability, 2011 We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)). We show that the extremal behavior of the radial part of the representation is determined by its Williamson d-transform. This leads
Larsson, Martin, Nešlehová, Johanna
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Assessing the hydrodynamic boundary conditions for risk analyses in coastal areas: a multivariate statistical approach based on Copula functions [PDF]
Natural Hazards and Earth System Sciences, 2012 This paper presents an advanced approach to statistically analyse storm surge events. In former studies the highest water level during a storm surge event usually was the only parameter that was used for the statistical assessment.
T. Wahl, C. Mudersbach, J. Jensen
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ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS [PDF]
, 2014 Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Stelmach, Jacek
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Local dependence estimation using semiparametric archimedean copulas [PDF]
Canadian Journal of Statistics, 2005 Summary: The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least-squares method to estimate and smooth these parameters.
Vandenhende, François +1 more
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Multiplicative Archimedean Copula(乘积阿基米德Copula)
Zhejiang Daxue xuebao. Lixue ban, 2010 在乘法模式下,对阿基米德Copula进行了推广,提出了乘积阿基米德Copula.通过构造两类特殊的乘积阿基米德Copula,举出了若干乘积阿基米德Copula例子,并分析了关于尾部相依性、对称性等方面的性质.最后,在探讨阿基米德Copula和乘积阿基米德Copula的关系中,提出几个值得进一步讨论的问题.
WANGQin(王沁) +2 more
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Journal of Applied Polymer Science, Volume 142, Issue 40, October 20, 2025.Experimental Characterization and Prediction of Mechanical Properties of Anisotropic PLA Samples. ABSTRACT In this study, 48 polylactic acid (PLA) samples were produced via 3D printing, incorporating four infill geometries (gyroid, lattice, honeycomb, and linear), four infill rates (15%–60%), and three printing directions (x, y, z).
Ahmet Saylık +2 more
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Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy
Journal of Futures Markets, Volume 45, Issue 8, Page 977-1005, August 2025.ABSTRACT Mitigating extreme tail risk is essential for institutions and corporations to prevent financial losses from severe asset price fluctuations across many asset classes. This study shows that a simple futures hedging strategy, the naïve hedge, is remarkably effective at managing tail risk—so much so that few other methods can beat it.
Min Cao, Thomas Conlon
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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.
Molanes, Elisa M., Romera, Rosario
core
Spline approximations to conditional Archimedean copula [PDF]
Stat, 2014 We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula. Changes in the dependence structure with a covariate x are modelled by flexible regression of the spline ...
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A Tale of Two Unprecedented Droughts in Southeast Asia: Physical Drivers and Impending Future Risks
Earth's Future, Volume 13, Issue 8, August 2025.Abstract Conventional wisdom suggests that tropical droughts in Southeast Asia are closely linked to natural climate variability like El Niño. However, the extreme 2014 drought occurred independently of El Niño, suggesting other dynamic forcings at play.
Shuping Ma +7 more
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