Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries. [PDF]
J Syst Sci Complex, 2023 Yuan J, Dong Y, Zhai W, Cai Z.
europepmc +1 more source
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
europepmc +1 more source
Hotspot movement of compound events on the Europe continent. [PDF]
Sci Rep, 2023 Doshi SC, Lohmann G, Ionita M.
europepmc +1 more source
, 2016 The thesis deals with Archimedean copulas which are very popular nowadays due to easy construction and their appealing properties. At first it introduces the general definition of a copula and also shows its fundamental properties.
Vedyushenko, Anna
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Tourists’ travel mode and length of stay: Application of a fully nested Archimedean copula structure
Transportation Research Part A: Policy and Practice, 2023 Xinming Li +2 more
openaire +1 more source
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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Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies. [PDF]
PLoS One, 2020 Syuhada K, Hakim A.
europepmc +1 more source
HMM in dynamic HAC models [PDF]
Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC ...
Wolfgang Karl Härdle +2 more
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THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS [PDF]
The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives.
Fathi Abid, Nader Naifar
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Can crop yield risk be globally diversified? [PDF]
In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Wei Xu, Martin Odening, Xiaoliang Liu
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