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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 ...
Mengyuan Xiong
exaly +4 more sources
Nonlinear Analysis: Modelling and Control, 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
Remigijus Leipus, Martynas Manstavičius
exaly +3 more sources
Media StatistikaAgriculture is a vulnerable sector to the risk of crop damage due to climate change and other environmental factors. One source of risk in agriculture is rainfall, which significantly affects productivity and farmers’ income.
exaly +3 more sources
Dependence Modeling, 2018 The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the ...
Kahadawala Cooray
exaly +2 more sources
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
doaj +2 more sources
Bivariate Generalized Rayleigh Distribution Based on Clayton Copula [PDF]
The Egyptian Statistical Journal, 2021 The bivariate generalized Rayleigh distribution is an important lifetime distribution in survival analysis. In this paper, Clayton copula and generalized Rayleigh marginal distribution are used for creating bivariate distribution which are called ...
Ehab M. Almetwally +1 more
doaj +1 more source
Modeling Insurance Claim Distribution via Mixture Distribution and Copula [PDF]
تحقیقات مالی, 2017 This paper analyses whether joint probability distribution function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via mixture distribution proposed and copula concept.
Saeed Bajalan +2 more
doaj +1 more source
Bivariate analysis of typical hydrological series of the yellow river [PDF]
International Journal of Computational Intelligence Systems, 2014 This paper uses Gumbel-Hougaard (G-H) copula, Clayton copula and Frank copula to construct joint distributions of hydrological variables of the two typical stations on the Yellow River Region, including the annual maximum flood magnitude (AMFM), the ...
Xin Tong +4 more
doaj +1 more source
ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
E-Jurnal Matematika, 2017 Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO +2 more
doaj +1 more source
On the Use of Copula for Quality Control Based on an AR(1) Model
Mathematics, 2021 Manufacturing for a multitude of continuous processing applications in the era of automation and ‘Industry 4.0’ is focused on rapid throughput while producing products of acceptable quality that meet customer specifications.
Timothy M. Young +2 more
doaj +1 more source