Results 101 to 110 of about 9,365 (302)
Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market [PDF]
, 2005 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
Roch, Oriol, Alegre Escolano, Antonio
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High‐Dimensional Cumulative Sum Control Charts for Industrial Measurement Systems
Quality and Reliability Engineering International, EarlyView.ABSTRACT High dimensional sensing in modern factories and energy assets produces thousands of correlated signals. Detecting small process shifts is challenging because many classical multivariate charts lose power or become unstable. We present two cumulative sum procedures for two sample monitoring that remain effective when the number of variables is
Osama Alhadi +3 more
wiley +1 more source
THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS [PDF]
The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives.
Fathi Abid, Nader Naifar
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Not All Missing Data are Equal: Choosing the Right Imputation Method for Binary Datasets
Quality and Reliability Engineering International, EarlyView.ABSTRACT Missing binary predictors are common in reliability, quality control, and industrial decision systems, yet imputation methods are often chosen by convenience rather than evidence. We conduct a Monte Carlo study comparing mode substitution, sequential hot‐deck, missForest, MICE, and KNN with three neighbourhood sizes under MCAR, MAR, and MNAR ...
Manuel Delfino, Fabio Rapallo
wiley +1 more source
Gordon and Newell queueing networks and copulas [PDF]
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 +1 more source
Managing Competency‐Based Resistance in Video‐Mediated L2 Peer Feedback Sessions
TESOL Quarterly, EarlyView.Abstract Though there is growing empirical evidence on managing advice resistance as an institutional work of higher status party with superior epistemic knowledge domain (e.g., trainer) across diverse settings (e.g., supervision meetings), there is still a lack of research on how second language (L2) learners handle peer resistance in real time once ...
Kübra Ekşi
wiley +1 more source
Goodness-of-fit test for copulas [PDF]
Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature.
Panchenko, V.
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TESOL Quarterly, EarlyView.Abstract Current trends encouraging a move away from monolingual teaching have sparked a renewed interest in the role of translation in language instruction. Yet, there are few theoretically and empirically grounded proposals regarding specific uses of translation in the language classroom.
Monika Bader +2 more
wiley +1 more source
Some results on weak and strong tail dependence coefficients for means of copulas [PDF]
Copulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature.
Fischer, Matthias J., Klein, Ingo
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Pacific Economic Review, EarlyView.ABSTRACT This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to assess contagion and ...
Gerasimos Rompotis +2 more
wiley +1 more source