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Some functionals for copulas [PDF]
International Journal of Mathematics and Mathematical Sciences, 1991 In this paper we study some functionals operating on the set of the n-copulas defined on [0,1]n. Conditions under which such functionals are well defined are determined and some counterexamples are described. The study of the fixed points (n-copulas) for
C. Alsina, A. Damas, J. J. Quesada
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Archimedean Copulas Derived from Morgenstern Utility Functions [PDF]
SSRN Electronic Journal, 2012 The (additive) generator of an Archimedean copula - as well as the inverse of the generator - is a strictly decreasing and convex function, while Morgenstern utility functions (applying to risk averse decision makers) are nondecreasing and concave. This provides a basis for deriving either a generator of Archimedean copulas, or its inverse, from a ...
Spreeuw, J.
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A Review of Copula-Based Approach for Water Resources Time Series [PDF]
Water Harvesting Research, 2023 This research investigates the utilization of copula functions in the water resources field, encompassing meteorological and hydrological aspects. A review of the Web of Sciences archive revealed 15143 studies featuring copula keywords.
Mohammad Nazeri Tahroudi +3 more
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An application of stochastic approximation in simulated method of moments [PDF]
Mathematics and Modeling in Finance, 2021 Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions.
Erfan Salavati, Nazanin Mohseni
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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
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Empirical tail copulas for functional data [PDF]
The Annals of Statistics, 2020 For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated estimation errors are known to converge weakly to a Gaussian ...
Einmahl, John H.J., Segers, Johan
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Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
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A Class of Copula-Based Bivariate Poisson Time Series Models with Applications
Computation, 2021 A class of bivariate integer-valued time series models was constructed via copula theory. Each series follows a Markov chain with the serial dependence captured using copula-based transition probabilities from the Poisson and the zero-inflated Poisson ...
Mohammed Alqawba +2 more
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Bivariate Flood Frequency Analysis Using the Copula Archimedean Function (Gumbel–Hougaard) [PDF]
پژوهشهای آبخیزداری, 2020 Flood is a multivariate and complex phenomenon that has a random nature. In conventional methods of flood frequency analysis, only flood peak variable is important and it is assumed that the variable under consideration follows a particular parametric ...
Mohammad Reza Goodarzi +3 more
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Nested Copula Model for Overall Seismic Vulnerability Analysis of Multispan Bridges
Shock and Vibration, 2022 Piers and bearings influence each other in earthquakes, and the failure of any component will affect the whole function of bridges. Thus, it is critical to consider the correlations between multiple components in the seismic vulnerability analysis of the
Ming Ma +4 more
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