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The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model [PDF]
Entropy, 2023 Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton ...
Hongli Niu, Kunliang Xu, Mengyuan Xiong
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Nonlinear Analysis, 2017 We provide two upper bounds on the Clayton copula Cθ(u1,...,un) if θ > 0 and n ≥ 2 and a lower bound in the case θ ∈ [-1,0) and n ≥ 2. The obtained bounds provide a nice probabilistic interpretation related to some negative dependence structures and also
Martynas Manstavičius, Remigijus Leipus
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Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula [PDF]
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
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A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model
Journal of Probability and Statistics, 2022 Knowledge of the dependence between random variables is necessary in the area of risk assessment and evaluation. Some of the existing Archimedean copulas, namely the Clayton and the Gumbel copulas, allow for higher correlations on the extreme left and ...
M. A. Boateng +3 more
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E-Jurnal Matematika, 2017 This study examines about last survivor life insurance with return of premium for married couples with independent and dependent mortality model. By using Frank copula, Clayton copula, Gumbel copula and Indonesian Mortalita Table 2011, the impact of ...
I GEDE DICKY ARYA BRAMANTA +3 more
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Bayesian parametric estimation based on left-truncated competing risks data under bivariate Clayton copula models. [PDF]
J Appl StatIn observational/field studies, competing risks and left-truncation may co-exist, yielding 'left-truncated competing risks' settings. Under the assumption of independent competing risks, parametric estimation methods were developed for left-truncated competing risks data. However, competing risks may be dependent in real applications. In this paper, we
Michimae H +3 more
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Temporal and spatial response of agricultural drought to meteorological drought in inner Mongolia plateau inland river basin [PDF]
Scientific ReportsMeteorological drought is the primary cause of agricultural drought. Studying how agricultural drought responds to meteorological drought is crucial for understanding drought evolution.
Weijie Zhang +5 more
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Probabilistic Peak Demand Estimation Using Members of the Clayton Generalized Gamma Copula Family
Energies, 2022 Climate change impacts many aspects of life and requires innovative thinking on various issues. The electricity sector is affected in several ways, including changes in the production components and consumption patterns.
Moshe Kelner +2 more
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Clayton Copula as an Alternative Perspective of Multi-Reaction Model
Environmental and Climate Technologies, 2018 This study proposes to assess the effect of some relevant parameters of biomass pyrolysis on the numerical solutions of nthorder distributed activation energy model (DAEM) or multi reaction model (MRM).
Dhaundiyal Alok +3 more
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Modelling Risk Dependencies in Insurance Using Survival Clayton Copula [PDF]
Statistika: Statistics and Economy JournalOur aim in this paper is to show the use of survival Clayton copula as a suitable tool for modelling risk dependencies in insurance. Apurpose-built simulation of an adequate upper tail dependence can be an important part of the aggregation of risks in an
Vladimír Mucha +2 more
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