How Does Systematic Risk Impact US Credit Spreads? A Copula Study [PDF]
It is well known that some relationship between systematic risk and credit risk prevails in financial markets. In our study, S&P 500 stock index return is our market risk proxy whereas credit spreads represent our credit risk proxy as a function of ...
Hayette Gatfaoui
core
Sensitivity Analysis for Survival Prognostic Prediction with Gene Selection: A Copula Method for Dependent Censoring. [PDF]
Biomedicines, 2023 Yeh CT, Liao GY, Emura T.
europepmc +1 more source
Constructing symmetric generalized FGM copulas by means of certain univariate distributions [PDF]
In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions.
Fischer, Matthias J., Klein, Ingo
core
Burst and Memory-aware Transformer: capturing temporal heterogeneity. [PDF]
Front Comput Neurosci, 2023 Lee B, Lee JH, Lee S, Kim CH.
europepmc +1 more source
Some Information Measures Properties of the GOS-Concomitants from the FGM Family. [PDF]
Entropy (Basel), 2022 Suter F, Cernat I, Drăgan M.
europepmc +1 more source
Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose [PDF]
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series.
Wing Lon Ng
core
Dependent conditional value-at-risk for aggregate risk models. [PDF]
Heliyon, 2021 Josaphat BP, Syuhada K.
europepmc +1 more source
Estimating the parameters of a dependent model and applying it to environmental data set. [PDF]
J Appl Stat, 2023 Mohtashami-Borzadaran V +2 more
europepmc +1 more source
On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula [PDF]
In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size.
Etienne Marceau +3 more
core
Joint Risk Analysis of Extreme Rainfall and High Tide Level Based on Extreme Value Theory in Coastal Area. [PDF]
Int J Environ Res Public Health, 2023 Chen H, Xu Z, Chen J, Liu Y, Li P.
europepmc +1 more source