Results 41 to 50 of about 1,417 (201)

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  

The Challenge of Handling Structured Missingness in Integrated Data Sources

Advanced Intelligent Discovery, EarlyView.
As data integration becomes ever more prevalent, a new research question that emerges is how to handle missing values that will inevitably arise in these large‐scale integrated databases? This missingness can be described as structured missingness, encompassing scenarios involving multivariate missingness mechanisms and deterministic, nonrandom ...
James Jackson, Marius Hofert, Eleni‐Rosalina Andrinopoulou, Niels Hagenbuch, Sarah McGough, Chris Harbron, Robin Mitra   +6 more
wiley   +1 more source

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

Data‐Driven Analysis of Green Logistics Strategies for the Logistics and Transportation Companies: A Bipolar Fuzzy Methodology

Business Strategy and the Environment, EarlyView.
ABSTRACT Global imperatives, such as climate change, environmental concerns, and carbon emissions, make green transformation an inevitability in the logistics sector. Green logistics strategy formulation is an economic choice problem, but it also turns out to be a multicriteria decision‐making (MCDM) process that encompasses the triple bottom line (TBL)
Ömer Faruk Görçün, Abhijit Saha, Fatih Ecer   +2 more
wiley   +1 more source

VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH

Barekeng
Investment 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, Umu Sa'adah, Kwardiniya Andawaningtyas, Endang Wahyu Handamari   +3 more
doaj   +1 more source

Using Tail Dependence on Copula-based Regression Models in Mixed Data [PDF]

The Egyptian Statistical Journal
This 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

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, Nguyen, Hung T., Sriboonchitta, Songsak   +2 more
openaire   +2 more sources

Copula‐based joint modelling of emergency department visits with time‐varying dependence

Canadian Journal of Statistics, EarlyView.
Abstract Jointly modelling multiple correlated count time series is essential in health services research, where outcomes like emergency visits for mental health and substance use often evolve together. Ignoring these dependencies can obscure meaningful trends and limit the effectiveness of policy evaluation.
Guanjie Lyu, Cindy Feng, Lihui Liu
wiley   +1 more source

Intermediate clinical endpoints as surrogates for overall survival after salvage prostatectomy

BJU International, EarlyView.
Objectives To evaluate biochemical recurrence‐free survival (BRFS) and metastasis‐free survival (MFS) as potential intermediate clinical endpoints (ICEs) for overall survival (OS) in patients undergoing salvage radical prostatectomy (sRP). Patients and Methods Evaluable patients were selected from a retrospective dataset, resulting in a cohort of 879 ...
Navid Roessler, Zuzanna Nowicka, Marcin Miszczyk, Giorgio Calleris, Alessandro Dematteis, Malte W. Vetterlein, Simone Albisinni, Henk G Van Der Poel, Paul Cathcart, Giovanni E. Cacciamani, Inderbir S. Gill, Raj A. Persad, Steven Joniau, Rafael Sanchez‐Salas, Joseph A. Smith Jr, Robert Jeffrey Karnes, Mohamed E. Ahmed, Pawel Rajwa, Derya Tilki, Shahrokh F. Shariat, Paolo Gontero, Giancarlo Marra, on behalf of the Young Academic Urologists Prostate Cancer Working Party   +22 more
wiley   +1 more source

MODELING THE BENEFITS OF A MARRIAGE REVERSE ANNUITY CONTRACT WITH DEPENDENCY ASSUMPTIONS USING ARCHIMEDEAN COPULA

Barekeng
Social security benefits may not be enough for retirement. Equity release products like marriage reverse annuities can boost retirement income for older couples.
Arnhilda Aspasia Lundy, Mila Novita, Ida Fithriani   +2 more
doaj   +1 more source