Results 51 to 60 of about 87,023 (313)
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 +36 more
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Journal of Econometrics, 2023 This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar's theorem. The latter provides a theoretical justification for the use of vector copulas to characterize nonlinear or rank dependence between a finite
Fan, Yanqin, Henry, Marc
openaire +2 more sources
Business Strategy and the Environment, EarlyView.ABSTRACT Manufacturing supply chains face an ever‐increasing risk of failing to address contentious social issues and achieve financial stability. Regrettably, previous studies highlight resources that provide few leaders in sustainable supply chain management (SSCM) with a competitive advantage over many other firms.
Yaw Agyabeng‐Mensah +3 more
wiley +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
Behavior Genetics, 2004 The standard variance components method for mapping quantitative trait loci is derived on the assumption of normality. Unsurprisingly, statistical tests based on this method do not perform so well if this assumption is not satisfied. We use the statistical concept of copulas to relax the assumption of normality and derive a test that can perform well ...
Basrak, B. +4 more
openaire +5 more sources
Business Strategy and the Environment, EarlyView.ABSTRACT While a growing literature is showing interest in the circular economy (CE) paradigm, there is still a lack of consensus on whether the adoption of CE practices can help to cope with supply risks arising from an increasingly uncertain business environment in order to increase supply chain resilience (SCRES) and improve a firm's performance ...
Roberta Pellegrino +4 more
wiley +1 more source
Estimation of Copula Density Using the Wavelet Transform
مجلة بغداد للعلومThis 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 +1 more
doaj +1 more source
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 +2 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 +2 more
core +1 more source