Results 31 to 40 of about 749 (133)
Using Tail Dependence on Copula-based Regression Models in Mixed Data [PDF]
The Egyptian Statistical JournalThis paper explores the efficacy of incorporating tail dependence into copula-based regression models applied to mixed health insurance data. Recognizing the limitations of traditional Generalized Linear Models (GLMs) in capturing the nuanced ...
Fatma Alshenawy
doaj +1 more source
Managing Procurement Auction Failure: Bid Requirements or Reserve Prices?
The RAND Journal of Economics, EarlyView.ABSTRACT This paper examines bid requirements, where the government may cancel a procurement contract unless two or more bids are received. Using a first‐price auction model with endogenous entry, we compare the bid requirement and reserve price mechanisms in terms of auction failure and procurement costs.
Jun Ma, Vadim Marmer, Pai Xu
wiley +1 more source
Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source
A COPULA APPLICATION FOR MECHANICAL PROPERTIES [PDF]
Fiabilitate şi Durabilitate, 2019 Based on copula applications, the work points out the use of cumulative distribution function for the characteristics bivariate cases and the connections among them.
Adrian Stere PARIS
doaj
Goodness‐of‐Fit Tests for Positive Quadrant Dependence
International Statistical Review, EarlyView.Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
wiley +1 more source
Hydrology Research, 2020 Copulas are appropriate tools in drought frequency analysis. However, uncertainties originating from copulas in such frequency analysis have not received significant consideration. This study aims to develop a drought severity-areal extent-frequency (SAF)
Zhanling Li +3 more
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On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
International Journal of Applied Earth Observations and GeoinformationMeteorological drought precedes the agricultural drought and studying the propagation time from meteorological to agricultural drought can substantially reduce agricultural losses. To find this propagation time between the meteorological and agricultural
Hussain Palagiri +2 more
doaj +1 more source
Extreme return-volume relationship in cryptocurrencies: Tail dependence analysis
Cogent Economics & Finance, 2020 We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins
Muhammad Naeem +4 more
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Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley +1 more source