Results 201 to 210 of about 90,390 (244)

Transformations of Copulas and Quasi-Copulas

2004
Transformations of aggregation operators preserving the class of copulas and quasi-copulas, respectively, are shown to be concave automorphisms of the unit interval. Attractors of copulas are discussed, special attention being paid to power transformations and the relationship between the corresponding attractors and the so-called maximum attractor ...
Erich Peter Klement, Radko Mesiar, Endre Pap   +2 more
openaire   +1 more source

Copulas in Finance

2011
Review of applications of copula techniques to finance, with special focus on dynamic consistency.
openaire   +2 more sources

Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

International Review of Financial Analysis, 2022
Shigeyuki Hamori
exaly  

Copula-based reliability analysis of degrading systems with dependent failures

Reliability Engineering and System Safety, 2020
Guanqi Fang, Rong Pan, Yili Hong
exaly  

Copulas

2008
openaire   +1 more source

Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model

Energy Economics, 2019
Qiang Ji
exaly  

Pair-copula constructions of multiple dependence

Insurance: Mathematics and Economics, 2009
Claudia Czado, Arnoldo Frigessi
exaly  

Integrated risk analysis of water-energy nexus systems based on systems dynamics, orthogonal design and copula analysis

Renewable and Sustainable Energy Reviews, 2019
Linyu Xu
exaly  

The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method

Energy Economics, 2018
Xiafei Li, Yu Wei
exaly  

Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models

International Review of Financial Analysis, 2020
Lean Yu
exaly