Results 141 to 150 of about 3,668 (232)

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
core  

CONTAGION VERSUS FLIGHT TO QUALITY IN FINANCIAL MARKETS [PDF]

None doubts that financial markets are related (interdependent). What is not so clear is whether there exists contagion among them or not, its intensity, and its causal direction.
Jose Olmo, Jesus Gonzalo
core  

Neural Bayes estimation and selection of complex bivariate extremal dependence models. [PDF]

Extremes (Boston)
André LM, Wadsworth JL, Huser R.
europepmc   +1 more source

Nonparametric copula estimation under bivariate censoring

, 2013
In this paper, we consider nonparametric copula inference under bivariate censoring. Based on an estimator of the joint cumulative distribution function, we define a discrete and two smooth estimators of the copula.
Gribkova, Svetlana, Lopez, Olivier
core  

Joint Modeling of Birth Outcomes Using a Copula Distributional Regression Approach. [PDF]

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

Contagion effects of the US Subprime Crisis on Developed Countries [PDF]

This study assesses whether capital markets of developed countries reflect the effects of financial contagion from the US subprime crisis and, in such case, if the intensity of contagion differs across countries.
Carlos Mendes, Paulo Horta, Isabel Vieira   +2 more
core  

Evaluating the Cauchy combination test for count data. [PDF]

PLoS One
Alsulami H, Liverani S.
europepmc   +1 more source

A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]

We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
core  

Copula-based multivariate analysis of hydrological drought over jiabharali sub-basin of Brahmaputra River, India. [PDF]

Sci Rep
Chakma B, Jhajharia D, Yurembam GS, Patle GT, Robert P, Saha S, Sharma APM, Singh SK.   +7 more
europepmc   +1 more source

LSTM-augmented vine copula modelling for energy-finance contagion analysis. [PDF]

Sci Rep
Zeng L, Huang J, Lin X.
europepmc   +1 more source