Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Factor Tree Copula Models for Item Response Data. [PDF]
Psychometrika, 2023 Kadhem SH, Nikoloulopoulos AK.
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Bi-factor and Second-Order Copula Models for Item Response Data. [PDF]
Psychometrika, 2023 Kadhem SH, Nikoloulopoulos AK.
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Efficient estimation of parameters in marginals in semiparametric multivariate models [PDF]
Recent literature on semiparametric copula models focused on the situation when the marginals are specified nonparametrically and the copula function is given a parametric form.
Artem Prokhorov, Valentyn Panchenko
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Singapore COVID-19 data cross-validation by the Gaidai reliability method. [PDF]
Npj Viruses, 2023 Gaidai O, Yakimov V, Sun J, van Loon EJ.
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A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models [PDF]
An elliptical copula model is a distribution function whose copula is that of an elliptical distri- bution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation ...
Krajina, A.
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Multivariate models of commodity futures markets: a dynamic copula approach. [PDF]
Empir Econ, 2023 Chen S, Li Q, Wang Q, Zhang YY.
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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis [PDF]
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011,
Paulo Sergio Ceretta +1 more
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Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach. [PDF]
PLoS OneZhang D, Yan X, Shen F.
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Elucidating Analytic Bias Due to Informative Cohort Entry in Cancer Clinico-genomic Datasets. [PDF]
Cancer Epidemiol Biomarkers Prev, 2023 Kehl KL +7 more
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