Results 121 to 130 of about 153,166 (217)

Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures [PDF]

This paper investigates whether or not there are significant changes in the dependence between the Thai equity market and six Asian markets - namely, Singaporean, Malaysian, Hong Kong, Korean, Indonesian and Taiwanese markets - due to 1997-July financial
Param Silvapulle, Xibin Zhang
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Copulas in finance and insurance [PDF]

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. They are used
Elisa M. Molanes, Rosario Romera
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Decomposition of Bivariate Inequality Indices by Attributes Revisited [PDF]

Decomposability of multidimensional inequality indices by attributes is considered a highly desired property. Naga and Geoffard (2006) provided for it in case of three bivariate indices.
Martyna Kobus
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Robust Estimation of Bivariate Copulas

, 2013
Copula functions are very convenient for modelling multivariate observations. Popular es- timation methods are the two-stage maximum likelihood and an alternative semi-parametric with empirical cumulative distribution functions (cdf) for the margins.
Guerrier, Stéphane, Orso, Samuel, Victoria-Feser, Maria-Pia   +2 more
openaire   +1 more source

Bivariate Copula-Based Regression for Joint Modeling of Healthcare Visits. [PDF]

Health Econ
Marra G, Radice R.
europepmc   +1 more source

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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The Bivariate Normal Copula

We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved ...
Christian Meyer
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A Bayesian Local Gaussian-Copula Allocation Model for Bivariate Discrete-Time First-Event Data With Time-Dependent Covariates. [PDF]

Stat Med
Michimae H.
europepmc   +1 more source

The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model [PDF]

Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the ...
Power, Gabriel J., Vedenov, Dmitry V.
core  

H-Likelihood Approach on the Joint Frailty Model for Clustered Bivariate Survival Data. [PDF]

Biom J
Kwon J, Shih JH, Emura T, Ha ID.
europepmc   +1 more source