Results 81 to 90 of about 66,819 (259)
Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
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Integrating Systemic Risk and Risk Analysis Using Copulas
International Journal of Disaster Risk Science, 2018 Systemic risk research is gaining traction across diverse disciplinary research communities, but has as yet not been strongly linked to traditional, well-established risk analysis research.
Stefan Hochrainer-Stigler +8 more
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Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020 A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and ...
Fontanari Andrea +2 more
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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
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Bounds for Trivariate Copulas with Given Bivariate Marginals
Journal of Inequalities and Applications, 2008 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 ...
Quesada-Molina JoséJuan +2 more
doaj
WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE
REAdThis study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014.
Fernanda Maria Müller +2 more
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A time-varying bivariate copula joint model for longitudinal and time-to-event data [PDF]
, 2022 Zili Zhang +2 more
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Continuous Exchangeable Markov Chains, Idempotent and 1-Dependent Copulas
MathematicsNew copula families are constructed based on orthogonality in L2(0,1). Subclasses of idempotent copulas with square integrable densities are derived.
Martial Longla
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Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]
Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
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Omnibus test for covariate effects in conditional copula models
, 2021 Irène Gijbels +2 more
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