Results 41 to 50 of about 5,414 (199)
Improving forecasting performance using covariate-dependent copula models
, 2018 Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences.
Kang, Yanfei, Li, Feng
core +1 more source
Selecting the primary endpoint in a randomized clinical trial: the ARE method [PDF]
, 2016 The decision on the primary endpoint in a randomized clinical trial is of paramount importance and the combination of several endpoints might be a reasonable choice. Gómez and Lagakos (2013) have developed a method that quantifies how much more efficient
Gómez Melis, Guadalupe +1 more
core +2 more sources
Jurnal NaturalSmall area statistics are required when the sample size is small to produce estimates with adequate precision. The assumptions underlying Battese Harter Fuller (BHF) unit-level models may often be unrealistic in some applications.
NADIRA SRI BELINDA +2 more
doaj +1 more source
Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation
, 2013 In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use?
Kreinovich, Vladik +2 more
openaire +2 more sources
Multi-wind Farm Output Correlation Model Based on Clayton-Copula Function
Journal of Physics: Conference Series, 2019 Abstract Because multiple wind farms are connected to the grid at the same time and the total amount of energy in the same wind zone is limited, there is a strong correlation between wind farms with similar geographical locations. Neglecting this correlation can lead to a large difference between wind power analysis and actual operation,
Shan Jinning +4 more
openaire +1 more source
Dependence between Croatian and European stock markets – A copula GARCH approach [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2013 The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as
Silvo Dajčman
doaj
Extending Basel Regulatory Capital Requirement under Economic Downturns [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2018 This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns.
Amir Azamtarrahian, Saeed Asadi
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source
VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH
BarekengInvestment is one of the many ways to achieve future profits. One form of investment that is widely made is stocks. The return obtained in investing in stocks is potentially higher than other investment alternatives, but the risks borne are amplified, so
Mohammad Dicky Saifullah +3 more
doaj +1 more source
Subuniformity of harmonic mean p$$ p $$‐values
Canadian Journal of Statistics, EarlyView.Abstract We obtain several inequalities on the generalized means of dependent p$$ p $$‐values. In particular, the weighted harmonic mean of p$$ p $$‐values is strictly subuniform under several dependence assumptions of p$$ p $$‐values, including independence, negative upper orthant dependence, the class of extremal mixture copulas, and some Clayton ...
Yuyu Chen +3 more
wiley +1 more source