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A Functional for Copulas and Quasi-Copulas [PDF]
ISRN Probability and Statistics, 2012 We recall and study some properties of a known functional operating on the set of n-copulas and determine conditions under such functional is well defined on the set of n-quasi-copulas. As a consequence, new families of copulas and quasi-copulas are defined, illustrating our results with several examples.
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Bayesian Model Choice of Grouped t-copula [PDF]
, 2011 One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a priori grouping is not required and the dependence modeling is more ...
Luo, Xiaolin, Shevchenko, Pavel V.
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El tratamiento de la cópula verbal en la historia del pensamiento lingüístico
Estudios de Lingüística, 2004 Throughout the history of Linguistics, the verbal copula has been analysed from different viewpoints. Some approaches considered the copula simply as an ordinary verb, without any special features.
Ventura Salazar García
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Jurnal Matematika Integratif, 2020 Industri asuransi merupakan industri yang berkaitan langsung dengan risiko. Risiko yang terjadi diakibatkan oleh besar klaim yang harus dibayarkan perusahaan asuransi.
Dedy Irawan Prihandoko +1 more
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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
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Journal of Hydrology: Regional Studies, 2016 Study region: Narew River in Northeastern Poland. Study focus: Three methods for frequency analysis of snowmelt floods were compared. Two dimensional (2D) normal distribution and copula-based 2D probability distributions were applied to statistically ...
Bogdan Ozga-Zielinski +4 more
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Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
Jurnal Fourier, 2018 Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
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Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
, 2015 All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality.
Schäfer, Rudi, Wollschläger, Marcel
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Resampling Procedures with Empirical Beta Copulas
, 2020 The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is a genuine copula, from which, moreover, it is particularly easy to sample, it is reasonable to expect that resampling procedures based on the empirical ...
Kiriliouk, Anna +2 more
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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
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