Results 91 to 100 of about 12,179 (202)
Multivariate Variance Gamma and Gaussian dependence: a study with copulas [PDF]
This paper explores the dynamic dependence properties of a Levy process, the Variance Gamma, which has non Gaussian marginal features and non Gaussian dependence.
Elisa Luciano, Patrizia Semeraro
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Asymmetric semilinear copulas [PDF]
, 2007 summary:We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals.
De Baets, Bernard +3 more
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Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas
Revista Colombiana de Estadística, 2009 Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj
Copulas and bivariate risk measures : an application to hedge funds [PDF]
With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i ...
Makram Ben Dbadis, Rihab Bedoui
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An investigation on the use of copulas when calculating general cash flow distributions. [PDF]
In a paper of 2000, Kaas, Dhaene and Goovaerts investigate the present value of a rather general cash flow as a special case of sums of dependent risks.
Darkiewicz, Grzegorz +4 more
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Non-Parametric Inference for Bivariate Extreme-Value Copulas [PDF]
Extreme-value copulas arise as the possible limits of copulas of componentwise maxima of independent, identically distributed samples.The use of bivariate extreme-value copulas is greatly facilitated by their representation in terms of Pickands ...
Segers, J.J.J.
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Modelado de parejas aleatorias usando cópulas
Revista Colombiana de Estadística, 2009 Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj
Tail Dependence among Agricultural Insurance Indices: The Case of Iowa County-Level Rainfalls [PDF]
Index insurance has been promoted as a cost-effective risk management alternative for agricultural producers in developing countries. In this paper, we ask whether spatially separated weather variables commonly used in index insurance design, such as ...
Liu, Pu, Miranda, Mario J.
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Orbital semilinear copulas [PDF]
, 2009 summary:We introduce four families of semilinear copulas (i.e. copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions.
De Baets, Bernard +4 more
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Constructing symmetric generalized FGM copulas by means of certain univariate distributions [PDF]
In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions.
Fischer, Matthias J., Klein, Ingo
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