Results 71 to 80 of about 25,862 (264)

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
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Brexit and Its Impact on EU Financial Markets

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin, Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad   +3 more
wiley   +1 more source

New Prospects on Vines [PDF]

In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas.
Dominique Guegan, Pierre-André Maugis
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Risk return of forward contracting corn with crop insurance

Journal of the Agricultural and Applied Economics Association, EarlyView.
Abstract Forward contracting is a common pre‐harvest marketing strategy for row crops, with evidence suggesting higher prices during summer months due to embedded weather risk premiums. While aggressive forward contracting increases farmers' yield risk and potential non‐delivery penalties, crop revenue protection can help offset these financial burdens.
Chandan Bhattarai, Andrew McKenzie, Hunter Biram, Jesse Tack, Alvaro Durand‐Morat   +4 more
wiley   +1 more source

Extending the hyper‐logistic model to the random setting: New theoretical results with real‐world applications

Mathematical Methods in the Applied Sciences, EarlyView.
We develop a full randomization of the classical hyper‐logistic growth model by obtaining closed‐form expressions for relevant quantities of interest, such as the first probability density function of its solution, the time until a given fixed population is reached, and the population at the inflection point.
Juan Carlos Cortés, Ana Navarro‐Quiles, Sorina Madalina Sferle   +2 more
wiley   +1 more source

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

Pair-Copula Constructions of Multivariate Copulas

, 2010
In this survey we introduce and discuss the pair-copula construction method to build flexible multivariate distributions. This class includes drawable (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate
openaire   +2 more sources

Constructing a bivariate distribution function with given marginals and correlation: application to the galaxy luminosity function

, 2010
We show an analytic method to construct a bivariate distribution function (DF) with given marginal distributions and correlation coefficient. We introduce a convenient mathematical tool, called a copula, to connect two DFs with any prescribed dependence ...
Ball, Benabed, Binggeli, Blanton, Boissier, Boquien, Boselli, Buat, Buat, Buat, Buat, Cambanis, Chapman, Chołoniewski, Cowie, Cross, D'Este, Damen, Damen, De Lapparent, Driver, Farlie, Feulner, Fontanot, Gumbel, Heavens, Hettmansperger, Hirashita, Hollander, Huang, Iglesias-Páramo, Iglesias-Páramo, Jiang, Johnson, Koen, Kotz, Lin, Martin, Morgenstern, Nelsen, Noeske, Noeske, Panter, Salpeter, Saunders, Saunders, Schafer, Schechter, Scherrer, Schucany, Sklar, Stuart, Takeuchi, Takeuchi, Takeuchi, Takeuchi, Takeuchi, Trivedi, Valz, Willmer, Wyder   +60 more
core   +1 more source

An objective Bayesian method for including parameter uncertainty in ensemble model output statistics

Quarterly Journal of the Royal Meteorological Society, EarlyView.
Conventional model output statistics and ensemble model output statistics methods for calibrating ensemble forecasts lead to severe underestimation of the probabilities of ensemble extremes (in blue). This is because they ignore statistical parameter uncertainty.
Stephen Jewson, Leonardo Olivetti, Gabriele Messori, Paul J. Northrop, Trevor Sweeting   +4 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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