Results 101 to 110 of about 165,609 (118)

CDO pricing with nested Archimedean copulas

Quantitative Finance, 2011
Companies in the same industry sector are usually more correlated than firms in different sectors, as they are similarly affected by macroeconomic effects, political decisions, and consumer trends. Despite the many stock return models taking this fact into account, there are only a few credit default models that take it into consideration.
Marius Höfert, Matthias Scherer
exaly   +5 more sources

Sampling nested Archimedean copulas

Journal of Statistical Computation and Simulation, 2008
We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth. These algorithms are based on mixture representations of these copulas using Laplace transforms.
Alexander McNeil
exaly   +3 more sources

A stochastic representation and sampling algorithm for nested Archimedean copulas

Journal of Statistical Computation and Simulation, 2012
A general sampling algorithm for nested Archimedean copulas was recently suggested. It is given in two different forms, a recursive or an explicit one. The explicit form allows for a simpler version of the algorithm which is numerically more stable and faster since less function evaluations are required. The algorithm can also be given in general form,
Marius Höfert
exaly   +3 more sources

Modeling defaults with nested Archimedean copulas

Blätter der DGVFM, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marius Hofert, Hofert, Marius
openaire   +3 more sources

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Estimation of distribution algorithm based on nested Archimedean copulas constructed with Lévy subordinators

2010 IEEE 11th International Conference on Computer-Aided Industrial Design & Conceptual Design 1, 2010
null Baolin, null Huimin, null Xiaoping, null Jianchao   +3 more
exaly   +2 more sources

Right-truncated Archimedean and related copulas

Insurance: Mathematics and Economics, 2021
The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived.
Marius Höfert
exaly   +2 more sources

Trivariate probabilistic assessments of the compound flooding events using Semiparametric Fully Nested Archimedean (FNA) copula approach

2022
Flooding in coastal areas can result from the joint occurrence of multiple individual flood variables, resulting in compound flooding (CF) events. Individual variables may not be extreme but can result in a severe coastal impact if they occur in close succession or simultaneous.
Shahid Latif, Slobodan Simonovic
openaire   +1 more source

An integrated model of tourists’ time use and expenditure behaviour with self-selection based on a fully nested Archimedean copula function

Tourism Management, 2012
Abstract This study presents an integrated model of tourists’ time use, expenditure by explicitly incorporating the influence of destination visit behaviour based on the concept of self-selection. Inter-destination interactions (between time-use decisions, between expenditure decisions, and between decisions on both time use and expenditure) are ...
Hui Zhang, Junyi Zhang, Masashi Kuwano
openaire   +1 more source

Construction and Sampling of Nested Archimedean Copulas

2010
Nested Archimedean copulas are explicit copulas which generalize Archimedean copulas to allow for asymmetries. Starting with completely monotone Archimedean generators, it is usually not clear when the corresponding Archimedean copulas can be nested to build indeed a proper copula.
openaire   +1 more source

On the construction of nested Archimedean copulas for d-monotone generators

Statistics & Probability Letters, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources