Results 81 to 90 of about 5,520 (288)
Comparison of Risk Calculation Based on Historical Simulation and the Copula Function [PDF]
, 2018 The fundamental aim of this paper is to compare risk calculation based on historical simulation with risk calculation based on the copula function. In the case of historical simulation it is assumed that future data can be estimated on the basis of ...
Miskolczi, Panna
core
Analysis of Drought Characteristics in Northern Shaanxi Based on Copula Function
, 2021 Precipitation is low and drought occurs frequently in Northern Shaanxi. To study the characteristics and occurrence and development of drought events in Northern Shaanxi is beneficial to the prevention and control of drought disasters.
Guangzhi Rong +3 more
core +1 more source
From Demand Stability to Environmental Responsibility: How Ordered Backlogs Shape Firm Behaviour
Business Strategy and the Environment, EarlyView.ABSTRACT Ordered backlogs are the confirmed and yet to be delivered customer orders, which may have multiple advantages to firms. We investigate how ordered backlogs influence firms' future environmental misconduct. Drawing on organisational slack theory, we argue that ordered backlogs as a form of demand‐side slack can reduce environmental misconduct.
Ashutosh Singh +4 more
wiley +1 more source
Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
core
Archimedean Copula Estimation Parameter with Kendall Distribution Function
Cumhuriyet Science Journal, 2017 In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas +2 more
doaj +1 more source
Nonlinear permuted Granger causality
Canadian Journal of Statistics, EarlyView.Abstract Granger causality is an established, contentious method that seeks causal temporal connections via association and precedence. While not true causal inference, it assists in mapping networks of information flow that may warrant further study.
Noah D. Gade, Jordan Rodu
wiley +1 more source
, 2011 In this article, the reliabilities of the electrical system and the fire control system of certain-type armored vehicle are studied based on the Copula function.
Ling Zhang +4 more
core +1 more source
, 2020 Against the background of increasing installed capacity of wind power in the power generation system, high-precision ultra-short-term wind power prediction is significant for safe and reliable operation of the power generation system.
Lin, Weijian +2 more
core +1 more source
Copula‐based joint modelling of emergency department visits with time‐varying dependence
Canadian Journal of Statistics, EarlyView.Abstract Jointly modelling multiple correlated count time series is essential in health services research, where outcomes like emergency visits for mental health and substance use often evolve together. Ignoring these dependencies can obscure meaningful trends and limit the effectiveness of policy evaluation.
Guanjie Lyu, Cindy Feng, Lihui Liu
wiley +1 more source