Results 61 to 70 of about 738,290 (135)
Asymptotic properties of the Bernstein density copula for dependent data [PDF]
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based.
ROMBOUTS, Jeroen V.K. +2 more
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Freedom in constructing quasi-copulas vs. copulas
Fuzzy Sets and Systems26 pages, 5 figures, accepted in Fuzzy Sets and ...
Matjaz Omladic, Nik Stopar
openaire +4 more sources
A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
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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
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Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas [PDF]
Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets.
Ozun, Alper, Cifter, Atilla
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting [PDF]
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich ...
Dean Fantazzini +4 more
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Enjoy the Joy of Copulas: With a Package copula [PDF]
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
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Copula-based dynamic conditional correlation multiplicative error processes : [Version 18 April 2013] [PDF]
, 2013 We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations.
Hautsch, Nikolaus, Bodnar, Taras
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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
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Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Yanping Yi, Xiaohong Chen, Wei Biao Wu
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