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 +2 more
exaly +4 more sources
Bounds for the Clayton copula [PDF]
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
doaj +6 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
exaly +3 more sources
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
doaj +4 more sources
PERBANDINGAN ASURANSI LAST SURVIVOR DENGAN PENGEMBALIAN PREMI MENGGUNAKAN METODE COPULA FRANK, COPULA CLAYTON, DAN COPULA GUMBEL [PDF]
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
doaj +4 more sources
The Analysis of Bivariate Truncated Data Using the Clayton Copula Model [PDF]
International Journal of Biostatistics, 2007 In individuals infected with human immunodeficiency virus (HIV), distributions of quantitative HIV RNA measurements may be highly left-censored due to values falling below assay detection limits (DL). It is of the interest to find the relationship between plasma and semen viral loads.
Antai Wang
exaly +3 more sources
A New Flexible Three-Parameter Model: Properties, Clayton Copula, and Modeling Real Data [PDF]
Symmetry, 2020 In this article, we introduced a new extension of the binomial-exponential 2 distribution. We discussed some of its structural mathematical properties. A simple type Copula-based construction is also presented to construct the bivariate- and multivariate-type distributions. We estimated the model parameters via the maximum likelihood method.
Abdulhakim A Al-Babtain +2 more
exaly +2 more sources
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
doaj +3 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
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
doaj +2 more sources