Results 41 to 50 of about 90,390 (244)

Calibrating and Simulating Copula Functions in Financial Applications

Frontiers in Applied Mathematics and Statistics, 2021
Copula functions can be utilized in financial applications to determine the dependence structure of the financial asset returns in the portfolio. Empirical evidence has proved the inadequacy of the multi-normal distribution, traditionally adopted to ...
Annalisa Di Clemente, Claudio Romano
doaj   +1 more source

Modelling stochastic bivariate mortality [PDF]

, 2006
Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk.
A J G Cairns, A K Manatunga, A Shemyakin, C Genest, C Genest, C Genest, D Duue, D Duue, D Duue, D F Schrager, D G Clayton, D Lando, D Lando, D M Dabrowska, D Oakes, D Oakes, E Biis, E Luciano, E W Frees, Elena Vigna, Elisa Luciano, H Youn, H Youn, J E Anderson, J F Carriere, J Spreeuw, Jaap Spreeuw, M A Milevsky, M Dahl, M Denuit, M Denuit, P Artzner, P Br Emaud, P Hougaard, R B Nelsen, U Cherubini, W Wang   +36 more
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Estimation of Copula Density Using the Wavelet Transform

مجلة بغداد للعلوم
This paper proposes a new method to estimate the copula density function using wavelet decomposition as a nonparametric method, to obtain more accurate results and address the issue of boundary effects that nonparametric estimation methods suffer from ...
Fatimah Hashim Falhi, Munaf Yousif Hmood   +1 more
doaj   +1 more source

Gaussian Process Conditional Copulas with Applications to Financial Time Series [PDF]

, 2013
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function.
Hernández-Lobato, Daniel, Hernández-Lobato, José Miguel, Lloyd, James Robert   +2 more
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ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA

E-Jurnal Matematika, 2019
Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

Trivariate joint frequency analysis of water resources deficiency signatures using vine copulas

Applied Water Science, 2022
Investigating the interaction of water resources such as rainfall, river flow and groundwater level can be useful to know the behavior of water balance in a basin.
Mohammad Nazeri Tahroudi, Yousef Ramezani, Carlo De Michele, Rasoul Mirabbasi   +3 more
doaj   +1 more source

Correlation analysis of financial assets based on asymmetric copula

Frontiers in Applied Mathematics and Statistics, 2022
Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
doaj   +1 more source

Efficient estimation of high-dimensional multivariate normal copula models with discrete spatial responses [PDF]

, 2015
The distributional transform (DT) is amongst the computational methods used for estimation of high-dimensional multivariate normal copula models with discrete responses.
Nikoloulopoulos, Aristidis K
core   +2 more sources

Regresi Median Pada Copula Bivariat

JTAM (Jurnal Teori dan Aplikasi Matematika), 2019
Abstrak: Analisis regresi adalah analisis yang sering digunakan dalam segala bidang yang bertujuan untuk memodelkan hubungan antara dua jenis variabel tak bebas dengan satu atau variabel bebas. Regresi linier masih memiliki beberapa kekurangan, maka dari
Geraldus Anggoro Rinadi, Leopoldus Ricky Sasongko, Bambang Susanto   +2 more
doaj   +1 more source

Copula estimation for nonsynchronous financial data

, 2020
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data.
Chakrabarti, Arnab, Sen, Rituparna
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