Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market [PDF]
In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Antonio Alegre Escolano +1 more
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Towards an explanation of copula effects [PDF]
, 2013 This paper deals with a series of semantic contrasts between the copula "be" and the preposition "as", two functional elements that both head elementary predication structures. It will be argued that the meaning of "as" is a type lowering device shifting
Jäger, Gerhard
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Copula Based Semiparametric Regressive Models
This paper studies the estimation of copula-based semi parametric stationary Markov models. Described models allow us evaluate the parameters of copula, which has the best fit to previously selected model (simple estimators of the marginal distribution ...
Fjodorovs, Jegors, Matvejevs, Andrejs
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A Statistical Model for Analyzing Interdependent Complex of Plant Pathogens
Revista Colombiana de Estadística, 2012 We introduce a new approach for modeling multivariate overdispersed binomial data, from a plant pathogen complex. After recalling some theoretical foundations of generalized linear models (GLMs) and Copula functions, we show how the later can be used to ...
EDUARDO DÁVILA +2 more
doaj
The Tail Copula Characteristic Function
Abstract We introduce the Tail Copula Characteristic Function (TCCF), the uncentered Fourier transform of the exponent measure under multivariate regular variation, as a frequency-domain representation of extremal dependence.
openaire +1 more source
Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
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Hydrological drought dynamic using copula functions and drought center migration in the Ganjiang river basin. [PDF]
Sci RepLiu W +5 more
europepmc +1 more source
The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model [PDF]
Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the ...
Power, Gabriel J., Vedenov, Dmitry V.
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A Copula-based framework for seismic resilience assessment of civil engineering structural systems. [PDF]
MethodsXXie C +7 more
europepmc +1 more source
Copula bivariate probit models: with an application to medical expenditures [PDF]
The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the "treatment") on a binary health outcome variable.
Rainer Winkelmann
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