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Modeling stock market indexes with copula functions [PDF]

open access: yese-Finanse, 2011
Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models for non-normal multivariate distributions provide new tools
Jacek Leskow   +2 more
openaire   +3 more sources

Distribution functions of multivariate copulas

Statistics & Probability Letters, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rodríguez-Lallena, José A.   +1 more
openaire   +2 more sources

Copula Functions for Residual Dependency

Psychometrika, 2007
Most item response theory models are not robust to violations of conditional independence. However, several modeling approaches (e.g., conditioning on other responses, additional random effects) exist that try to incorporate local item dependencies, but they have some drawbacks such as the nonreproducibility of marginal probabilities and resulting ...
Braeken, Johan   +2 more
openaire   +1 more source

Aggregation Function Constructed from Copula

Carpathian Journal of Mathematics, 2022
"In this work, we show that a slight change in the Sklar's formula tremendously affects the class of aggregation functions it represents. While the original formula can only be used to construct $d$-increasing aggregation functions, this new formula can be used to construct any continuous aggregation function excepted possibly those belong to the ...
VARAYUT BOONYASRI, SANTI TASENA
openaire   +1 more source

Binary copulas as aggregation functions

2014 IEEE 15th International Symposium on Computational Intelligence and Informatics (CINTI), 2014
We present binary copulas or 2-copulas (copulas, shortly) as important aggregation function. Since generally copulas are non-associative operation we restrict on binary case, which is mostly used in the practice. After giving some introductory part on general aggregation functions we restrict on specific properties of copulas.
Endre Pap, Aniko Szakal
openaire   +1 more source

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