Results 131 to 140 of about 3,668 (232)

On the Distortion of a Copula and its Margins

This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
core  

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

Robustness of a semiparametric estimator of a copula [PDF]

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable.
Param Silvapulle, Mervyn J. Silvapulle, Gunky Kim   +2 more
core  

Copulas for Covariate Simulation in Pharmacometrics. [PDF]

CPT Pharmacometrics Syst Pharmacol
Guo Y, Guo T, van Hasselt JGC, Zwep LB.
europepmc   +1 more source

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

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  

Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach. [PDF]

PLoS One
Zhang D, Yan X, Shen F.
europepmc   +1 more source

Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas

Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets.
Ozun, Alper, Cifter, Atilla
core  

Unveiling spring behaviour through copula-based inter-spring connectivity in the Central Himalaya. [PDF]

Sci Rep
Mukherjee S, Gosavi VE, Singh S, Lodhi MS.   +3 more
europepmc   +1 more source

Data-Driven Chance Constrained Mixed Integer Nonlinear Bilevel Optimization via Copulas. [PDF]

Ind Eng Chem Res
Johnn SN, Nikkhah H, Tsai ML, Avraamidou S, Beykal B, Charitopoulos VM.   +5 more
europepmc   +1 more source