Results 91 to 100 of about 9,257 (211)
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
core
Convex Lineability in Copula and Quasi-copula Sets
Abstract In this paper, we investigate several subsets of n-copulas and n-quasi-copulas from the perspective of convex-lineability and the recently introduced concept of convex-spaceability. Our purpose is to determine when such families contain extremely large algebraic structures, namely linearly independent sets of
de Amo, Enrique +3 more
openaire +2 more sources
Gordon and Newell queueing networks and copulas
In this paper we have found an analytical formula for a copula that connects the numbers Ni of customers in the nodes of a Gordon and Newell queueing network.
Ciuiu, Daniel
core
Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Yanping Yi, Xiaohong Chen, Wei Biao Wu
core
Polish stock market and some foreign markets – dependence analysis by copulas [PDF]
By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the ...
Henryk Gurgul +2 more
core
Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index (revised) [PDF]
, 2005 We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition.
Salmon, Mark H. +2 more
core
ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS
Acta Universitatis Lodziensis. Folia Oeconomica, 2014 Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Jacek Stelmach
doaj
Dependent jump processes with coupled Lévy measures [PDF]
I present a simple method for the modeling and simulation of dependent positive jump processes through a series representation. Each constituent process is represented by a series whose terms are equal to a transformation of the jump times of a standard ...
Naoufel El-Bachir
core
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
core