Results 81 to 90 of about 43,396 (279)
Weak convergence of the weighted empirical beta copula process
, 2017 The empirical copula has proved to be useful in the construction and understanding of many statistical procedures related to dependence within random vectors.
Berghaus, Betina, Segers, Johan
core +1 more source
Point and Risk estImation Using an enSemble of Models for Nowcasting: PRISM‐Now
Journal of Forecasting, EarlyView.ABSTRACT We propose PRISM‐Now, a novel ensemble forecasting system for near‐term GDP projection. Recognizing that relevant economic information evolves over time, we treat forecasts from multiple base models as draws from a mixture distribution of “good” and “bad” estimates, whose composition changes continuously and cannot be identified ex ante.
Beomseok Seo, Hyungbae Cho, Dongjae Lee
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
Latent Gaussian Count Time Series Modeling
, 2018 This paper develops theory and methods for the copula modeling of stationary count time series. The techniques use a latent Gaussian process and a distributional transformation to construct stationary series with very flexible correlation features that ...
Jia, Yisu +4 more
core +1 more source
Further Findings on the Intergenerational Transmission of Alcohol Consumption
Health Economics, EarlyView.ABSTRACT Using 43,817 parent–child pairs from 23 waves of the HILDA Survey, I study the intergenerational transmission of alcohol use within a rational model of trait transmission. Transmission is predominantly same‐sex: the mother–daughter elasticity is 0.10 and the father–son elasticity is 0.09; there is no father–daughter effect.
Sergey Alexeev
wiley +1 more source
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
Multi-dimensional scenario forecast for generation of multiple wind farms
Journal of Modern Power Systems and Clean Energy, 2015 A novel multi-dimensional scenario forecast approach which can capture the dynamic temporal-spatial interdependence relation among the outputs of multiple wind farms is proposed.
Ming Yang +4 more
doaj +1 more source
Application of Copula functions in statistics [PDF]
, 2021 Studying associations among multivariate outcomes is an interesting problem in statistical science. The dependence between random variables is completely described by their multivariate distribution. When the multivariate distribution has a simple form, standard methods can be used to make inference.
openaire +1 more source
Risk return of forward contracting corn with crop insurance
Journal of the Agricultural and Applied Economics Association, EarlyView.Abstract Forward contracting is a common pre‐harvest marketing strategy for row crops, with evidence suggesting higher prices during summer months due to embedded weather risk premiums. While aggressive forward contracting increases farmers' yield risk and potential non‐delivery penalties, crop revenue protection can help offset these financial burdens.
Chandan Bhattarai +4 more
wiley +1 more source
Fitting Copulas with Maximal Entropy
EntropyWe deal with two-dimensional copulas from the perspective of their differential entropy. We formulate a problem of finding a copula with maximum differential entropy when some copula values are given.
Milan Bubák, Mirko Navara
doaj +1 more source