Results 61 to 70 of about 25,862 (264)
Statistica, 2018 Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas.
Saralees Nadarajah +2 more
doaj +1 more source
Journal of Multivariate Analysis, 2018 Revised version: correction of Assumption 3 and some minor induced ...
Fermanian, Jean-David, Lopez, Olivier
openaire +6 more sources
Journal of Forecasting, EarlyView.ABSTRACT Using online job advertisement data improves the timeliness and granularity depth of analysis in the labor market in domains not covered by official data. Specifically, its variation over time may be used as an anticipator of official employment variations.
Pietro Giorgio Lovaglio +1 more
wiley +1 more source
On comprehensive families of copulas involving the three basic copulas and transformations thereof
Dependence ModelingComprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence, and comonotonicity of pairs of random variables on the same probability space. In this contribution,
Saminger-Platz Susanne +4 more
doaj +1 more source
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
Point and Risk estImation Using an enSemble of Models for Nowcasting: PRISM‐Now
Journal of Forecasting, EarlyView.ABSTRACT We propose PRISM‐Now, a novel ensemble forecasting system for near‐term GDP projection. Recognizing that relevant economic information evolves over time, we treat forecasts from multiple base models as draws from a mixture distribution of “good” and “bad” estimates, whose composition changes continuously and cannot be identified ex ante.
Beomseok Seo, Hyungbae Cho, Dongjae Lee
wiley +1 more source
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
Copulas in finance and insurance [PDF]
, 2008 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.
Molanes, Elisa M., Romera, Rosario
core
Further Findings on the Intergenerational Transmission of Alcohol Consumption
Health Economics, EarlyView.ABSTRACT Using 43,817 parent–child pairs from 23 waves of the HILDA Survey, I study the intergenerational transmission of alcohol use within a rational model of trait transmission. Transmission is predominantly same‐sex: the mother–daughter elasticity is 0.10 and the father–son elasticity is 0.09; there is no father–daughter effect.
Sergey Alexeev
wiley +1 more source
Dependence Modeling, 2018 We review various methods for constructing bivariate copulas with given diagonal sections from seminal work to the most recent research on copulas with given diagonal and opposite diagonal sections.
Fernández-Sánchez Juan +1 more
doaj +1 more source