Results 91 to 100 of about 1,417 (201)

Value-at-Risk Pada Portofolio Berbasis Copula [PDF]

, 2016
Tiap investasi antar saham yang dilakukan akan memberikan keuntungan dan risiko yang berbeda meskipun dalam sektor industri yang sama. Membentuk sebuah portofolio merupakan usaha memaksimalkan tingkat pengembalian (return) yang diharapkan dari investasi ...
TEDO HARISCANDRA
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Copula bivariate probit models: with an application to medical expenditures [PDF]

The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the "treatment") on a binary health outcome variable.
Rainer Winkelmann
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Sea level rise: using copula function to get structure crest level rating from its average overtopping discharge

LHB Hydroscience Journal
With the rise in sea level due to climate change, it is necessary to improve calculation methods for determining the crest level of coastal structures from the mean overtopping discharge at a 100-year return period.
Olivier Orcel, Philippe Sergent
doaj   +1 more source

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]

In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Enjoy the Joy of Copulas: With a Package copula [PDF]

Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
core   +1 more source

Korelasi Kendall (τ) untuk Estimasi Parameter Distribusi Clayton-copula Bivariat dan Penerapannya pada Data Harga Saham S&P100 dan S&P600 [PDF]

, 2016
Untuk membentuk fungsi distribusi bersama dari dua variabel random yang berdistribusi ekstrem diperlukan fungsi penghubung. Fungsi penghubung tersebut adalah copula. Copula dibagi ke dalam beberapa kelas, salah satunya Clayton-copula.
WIJI N, APRILIANA
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Copulas in finance and insurance [PDF]

, 2008
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance.
Romera, Rosario, Molanes, Elisa M.
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Weighted Clayton Copulas and their Characterizations: Application to Probable Modeling of the Hydrology Data [PDF]

, 2013
: Copulas have recently emerged as practical methods for multivariate modeling. To our knowledge, only a limited amount of work has been done to apply copula-based modeling in context analysis.
Hakim Bekrizadeh, Gholam Ali Parham, Mohammad Reza Zadkarmi   +2 more
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Copula-based frequency analysis of overflow and flooding in urban drainage systems [PDF]

, 2014
The performance evaluation of urban drainage systems is essentially based on accurate characterisation of rainfall events, where a particular challenge is development of the joint distributions of dependent rainfall variables such as duration and depth ...
David Butler (349975), Guangtao Fu (1361901)   +1 more
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False Discovery Rate Control under Archimedean Copula [PDF]

, 2014
We are concerned with the false discovery rate (FDR) of the linear step-up test φLSU considered by Benjamini and Hochberg (1995). It is well known that φLSU controls the FDR at level m0q/m if the joint distribution of p-values is multivariate totally ...
Bodnar, Taras, Dickhaus, Thorsten
core   +1 more source