Results 101 to 110 of about 5,414 (199)

COMPARISON OF COPULA FAMILY (GAUSSIAN, ARCHIMEDEAN, AND REGRESSION) IN A CASE STUDY OF COMPOSITE STOCK PRICE INDEX ON INDONESIA STOCK EXCHANGE

Barekeng
Stocks are one of the most popular financial market instruments. On the other hand, stocks are an investment instrument that is widely chosen by investors because stocks are able to provide attractive profit levels.
Darwis Darwis, Bagus Sartono, Leny Yuliani   +2 more
doaj   +1 more source

Tail Dependence among Agricultural Insurance Indices: The Case of Iowa County-Level Rainfalls [PDF]

Index insurance has been promoted as a cost-effective risk management alternative for agricultural producers in developing countries. In this paper, we ask whether spatially separated weather variables commonly used in index insurance design, such as ...
Liu, Pu, Miranda, Mario J.
core   +1 more source

A New Bivariate Family of Distributions Based on the Clayton Archimedean Copula and Dagum Distribution

African Journal of Empirical Research
This study introduces a novel bivariate distribution combining the Clayton Archimedean copula and the Dagum distribution, addressing challenges in modeling complex dependencies, skewness, heavy tails, and multimodal distributions. The proposed NBCDagE distribution leverages the Clayton copula’s ability to capture asymmetric dependencies and the Dagum ...
Julius Kwaku Adu-Ntim, Akoto Yaw Omari-Sasu, Maxwell Akwasi Boateng, Isaac Adjei Mensah   +3 more
openaire   +3 more sources

Nested Archimedean Copulas Meet R: The nacopula Package [PDF]

The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
core   +1 more source

Copula-Based Nonlinear Models of Spatial Market Linkages [PDF]

Replaced with revised version of paper 06/28/11.Spatial Market Linkages, Copula Models, State-dependence, Forest Products, Research Methods/ Statistical Methods,
Goodwin, Barry K., Holt, Matthew T., Onel, Gulcan, Prestemon, Jeffrey P.   +3 more
core   +1 more source

Teknik Mengkonstruksi Distribusi Bivariat Copula Clayton pada Data Marginal Diskrit dengan Implikasi Kebergantungan [PDF]

Delta: Jurnal Ilmiah Pendidikan Matematika, 2020
Andi Fitriawati, Werry Febrianti, Ariestha Widyastuty Bustan, Amris -   +3 more
openaire   +1 more source

Measuring the dependence structure between yield and weather variables [PDF]

The design and pricing of weather-based crop insurance and weather derivatives is strongly based on an implicit assumption that the dependence structure between yields and weather variables remains unchanged over time.
Bokusheva, Raushan
core   +1 more source

Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi

Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2016
In this paper, copula approach was applied to determine the dependence structure the two indices (PPI and CPI). Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used.
Ayça Büyükyılmaz
doaj  

Inhomogeneous Dependency Modelling with Time Varying Copulae [PDF]

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time ...
Ekaterina Ignatieva, Enzo Giacomini, Vladimir Spokoiny, Wolfgang Härdle   +3 more
core  

Asymmetric Dependence in US Financial Risk Factors? [PDF]

.Asymmetric Dependence; Copulas; Diversification Failure; Risk Factor; Systemic Risk; Time-Varying Downside ...
Chollete, Loran, Ning, Cathy
core