Results 71 to 80 of about 33,492 (216)
Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
Jurnal Fourier, 2018 Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
doaj +1 more source
Assessing Basis Risk in Margin Insurance for Beef Cattle Farming in Brazil
Agricultural Economics, Volume 57, Issue 4, July 2026.ABSTRACT Price volatility in agricultural markets directly affects the financial viability of rural producers, particularly in sectors characterized by narrow profit margins and long production cycles, such as beef cattle production. Futures contracts and agricultural insurance are commonly used to mitigate this risk; however, both instruments are ...
Beatriz Salandin Dal Pozzo +1 more
wiley +1 more source
Hierarchical Archimedean Copulae: The HAC Package [PDF]
Journal of Statistical Software, 2014 This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the ...
Ostap Okhrin, Alexander Ristig
openaire +4 more sources
Investigating dynamic dependence using copulae [PDF]
, 2001 A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship.
Salmon, Mark H. +2 more
core
Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula
Journal of Probability and Statistics, 2018 This study exploits the closure property of the converse convolution operator to come up with a hybrid Clayton-Frank Archimedean copula for two random variables.
Maxwell Akwasi Boateng +3 more
doaj +1 more source
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Water Resources Research, Volume 62, Issue 5, May 2026.Abstract Drought indices represent essential tools for monitoring and evaluating drought conditions and evolution. Univariate indices employ the Probability Integral Transform to map data onto the standard Gaussian domain. Extending such a Gaussian normalization procedure to multivariate settings requires the usage of the Kendall distribution function ...
Carlo De Michele +3 more
wiley +1 more source
Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]
Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core
On a Multivariate Extension for Copula-Based Conditional Value at Risk
Journal of Statistical Theory and Applications (JSTA)Copula-based Conditional Value at Risk ( $$\textrm{CCVaR}$$ ) is a real-valued tail risk measure for multivariate random vectors defined through conditioning on a copula level set.
Andres Mauricio Molina Barreto
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COBASE: A new copula‐based shuffling method for ensemble weather forecast postprocessing
Quarterly Journal of the Royal Meteorological Society, Volume 152, Issue 777, April 2026 Part B.We propose COBASE, a novel copula‐based postprocessing methododology that combines the strengths of multivariate parametric correction with non‐parametric rank‐based approaches. We consider two case studies for multi‐site temperature in Austria and multi‐site temperature and dew‐point temperature in the Netherlands.
Maurits Flos +4 more
wiley +1 more source