Results 51 to 60 of about 520,955 (192)
Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market [PDF]
, 2014 In this paper, we briefly review the basics of copula theory and the problem of estimating Value-at-Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1)
Nguyen, Vu-Linh +3 more
core +1 more source
Geophysical Research Letters, Volume 53, Issue 3, 16 February 2026.Abstract Compound heatwave and drought events (CHDEs) in South China (SC) have intensified in early autumn, yet their driving factor remains unclear. Based on reanalysis data and numerical experiments, this study investigates the potential influence of the summer northeastern Arctic Sea ice concentration (NEASIC) on the interannual variation of ...
Jiani Zeng +4 more
wiley +1 more source
Extending multivariate sub-quasi-copulas
Journal of Mathematical Analysis and ApplicationsIn this paper, we introduce patchwork constructions for multivariate quasi-copulas. These results appear to be new since the kind of approach has been limited to either copulas or only bivariate quasi-copulas so far. It seems that the multivariate case is much more involved since we are able to prove that some of the known methods of bivariate ...
Damjana Kokol Bukovšek +3 more
openaire +4 more sources
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study [PDF]
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how ...
Dean Fantazzini +3 more
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Energy Technology, Volume 14, Issue 1, January 2026.The proposed study combined the dual attention mechanism with a bidirectional long short‐term memory network (DA‐BiLSTM) for short‐term load forecasting. This technique was tested on two electric load datasets to assess its generalizability. Additionally, the robustness of DA‐BiLSTM was illustrated through comparative analysis with other deep learning ...
Sabiha Rani +7 more
wiley +1 more source
Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known [PDF]
At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known ...
Werker, B.J.M. +2 more
core +1 more source
Towards an explanation of copula effects [PDF]
, 2013 This paper deals with a series of semantic contrasts between the copula "be" and the preposition "as", two functional elements that both head elementary predication structures. It will be argued that the meaning of "as" is a type lowering device shifting
Jäger, Gerhard
core
Research on Multi-objective Probabilistic Optimal Power Flow Considering Demand Response
Kongzhi Yu Xinxi Jishu, 2019 This paper focuses on the problem of multi-objective probabilistic optimal power flow (MPOPF) considering demand response based on locational comprehensive price.
CAO Jia +4 more
doaj
Copula-based testing for dependence structures.. [PDF]
This thesis describes tests for specific dependence structures between two random variables, in particular: quadrant dependence, tail monotonicity and stochastic monotonicity.
Sznajder, Dominik
core
Estimation of Copula-Based Semiparametric Time Series Models [PDF]
This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal ...
Yanqin Fan, Xiaohong Chen
core