Results 81 to 90 of about 5,414 (199)
Copula based simulation procedures for pricing basket Credit Derivatives [PDF]
This paper deals with the impact of structure of dependency and the choice of procedures for rare-event simulation on the pricing of multi-name credit derivatives such as nth to default swap and Collateralized Debt Obligations (CDO).
Fathi, Abid, Nader, Naifar
core +1 more source
IET Renewable Power Generation, Volume 20, Issue 1, January/December 2026.1. A novel physics‐informed interval forecasting approach that combines temporal convolutional networks (TCN) with Transformer architectures and quantile regression (QR) methodology is proposed. 2. The hybrid TCN–Transformer model effectively captures both local temporal patterns and global dependencies in wind speed data, while the QR framework ...
Chen Huang +5 more
wiley +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
core
Nonlinear Dependence Structure Between BRICS Stock Markets, Gold, and Cryptocurrencies
The Manchester School, Volume 94, Issue 1, Page 75-89, January 2026.ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after ...
Jiale Yan
wiley +1 more source
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
core
International Transactions on Electrical Energy Systems, Volume 2026, Issue 1, 2026.In order to accurately evaluate and tap the mutual‐aid capacity potential of interconnected power stations under the scenario of peak‐to‐peak compensation between new energy output and load demand, this paper uses Copula function to describe the correlation structure of wind, light, and load from the perspective of source–load matching, quantify the ...
Chao Ding +6 more
wiley +1 more source
LHB Hydroscience JournalWith 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
Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Wei Biao Wu, Xiaohong Chen, Yanping Yi
core
Copula Relations in Compound Poisson Processes [PDF]
, 2014 We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself.
Palmes, Christian
core
A flexible Clayton-like spatial copula with application to bounded support data
Journal of Multivariate AnalysisThe Gaussian copula is a powerful tool that has been widely used to model spatial and/or temporal correlated data with arbitrary marginal distributions. However, this kind of model can potentially be too restrictive since it expresses a reflection symmetric dependence.
Bevilacqua, Moreno +2 more
openaire +3 more sources