Results 51 to 60 of about 12,179 (202)

Vine copulas structures modeling on Russian stock market

Discrete and Continuous Models and Applied Computational Science, 2019
Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in
Eugeny Yu. Shchetinin
doaj   +1 more source

Gluing copulas [PDF]

We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones. --
Siburg, Karl Friedrich, Stoimenov, Pavel A.   +1 more
core  

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
core   +3 more sources

Bounds for Trivariate Copulas with Given Bivariate Marginals

Journal of Inequalities and Applications, 2009
We determine two constructions that, starting with two bivariate copulas, give rise to new bivariate and trivariate copulas, respectively. These constructions are used to determine pointwise upper and lower bounds for the class of all trivariate copulas ...
doaj   +1 more source

On Unit-Burr Distorted Copulas

AppliedMath
This paper introduces a new unit-Burr distortion function constructed via a transformation of the Burr random variable. The distortion can be applied to existing base copulas to create new copula families.
Fadal Abdullah A. Aldhufairi, Jungsywan H. Sepanski   +1 more
doaj   +1 more source

Enjoy the Joy of Copulas: With a Packagecopula [PDF]

Journal of Statistical Software, 2007
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas. This article presents the design, features, and some implementation details of the R package copula.
openaire   +3 more sources

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
core  

Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine

Journal of Statistical Software, 2013
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann, Ulf Schepsmeier   +1 more
doaj  

Constructing and generalizing multivariate copulas: a generalizing approach [PDF]

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
core  

New Bivariate Copulas via Lomax Distribution Generated Distortions

AppliedMath
We develop a framework for creating distortion functions that are used to construct new bivariate copulas. It is achieved by transforming non-negative random variables with Lomax-related distributions.
Fadal Abdullah Ali Aldhufairi, Jungsywan H. Sepanski   +1 more
doaj   +1 more source