Results 81 to 90 of about 9,365 (302)

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

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

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

Functionally Constructed Semi Linear Copulas from Fuzzy Implication Operators

Axioms
This paper proposes a framework for generating symmetric two-branched copulas directly from fuzzy implications via monotone function composition. The proposed approach is based on a two-branched composition principle induced by fuzzy implications and ...
Panagiotis G. Mangenakis, Basil K. Papadopoulos   +1 more
doaj   +1 more source

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, Moumouni Diallo, Remi Guillaume Bagré   +2 more
doaj   +1 more source

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, Georg Pflug, Ulf Dieckmann, Elena Rovenskaya, Stefan Thurner, Sebastian Poledna, Gergely Boza, Joanne Linnerooth-Bayer, Åke Brännström   +8 more
doaj   +1 more source

Spatiotemporal Changes and Climate Driving Factors of Compound Precipitation‐Temperature Extreme Events Across Global Land Areas

International Journal of Climatology, EarlyView.
During the period 1901–2024, the dominant proportion of compound dry‐warm extremes in annual, June–July–August (JJA), and December–January–February (DJF) occurrences was the highest among the four types of compound precipitation and temperature extremes across global land areas, accounting for 40.1%, 50.3%, and 28.0%, respectively.
Ruting Yang, Silong Zhang, Xiongpeng Tang, Chao Gao, Haibin Zhang, Xin Yin, Yanli Liu   +6 more
wiley   +1 more source

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.
core   +1 more source

WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE

REAd
This 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, Marcelo Brutti Righi, Anderson Luis Walker Amorin   +2 more
doaj   +1 more source

Spatial and Temporal Patterns of Extreme Hourly Rainfall in the Hawaiian Islands

International Journal of Climatology, EarlyView.
The extreme rainfall trends in Hawaiʻi were revealed by hourly rainfall data: Across islands, Kauaʻi and Hawaiʻi Island had larger events at a return period. Annual maximum series of 15 gauges showed significant positive trends. While extreme rainfall trends show increases or decreases regionally, the trends varied with rainfall duration.
Maxime Gayte, Yu‐Fen Huang, Yinphan Tsang, Pao‐Shin Chu, Thomas W. Giambelluca, Hanpei Zhang   +5 more
wiley   +1 more source