Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market [PDF]
This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as ...
Dominique Guegan, Jing Zhang
core
Dynamic stochastic copula models: Estimation, inference and applications [PDF]
We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
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The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model [PDF]
Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the ...
Power, Gabriel J., Vedenov, Dmitry V.
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Solution to an open problem about a transformation on the space of copulas
Dependence Modeling, 2014 Durante Fabrizio +2 more
doaj +1 more source
Integer-Valued Time Series. [PDF]
This thesis adresses statistical problems in econometrics. The first part contributes statistical methodology for nonnegative integer-valued time series.
Akker, R. van den
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Pricing bivariate option under GARCH processes with time-varying copula [PDF]
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying ...
Dominique Guegan, Jing Zhang
core
Colloquium novum monetarum, das ist, Ein schön news Gespräch von dem jetzigen unerträglichem Geltauffsteigen, und elenden Zustand dess Müntzwesens, welches die gesampte Reichs- kleine und grobe, gülden und silbern Müntzsorten sampt etlichen Metallen, unter einander halten : sampt einem newen schönen Lied, allen falschen unnd leicht Müntzern, Küppern und jhren saubern Rottgesellen, den Juden und Judensgenossen zu Ehren gestellet [PDF]
durch einen jhren guten Freund, genandt Vel QuasiBogensignaturen ...
Vel Quasi
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Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
core
A nonparametric copula based test for conditional independence with applications to granger causality [PDF]
, 2009 This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance.
Taamouti, Abderrahim +7 more
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Measuring re-identification risk using a synthetic estimator to enable data sharing. [PDF]
PLoS One, 2022 Jiang Y +4 more
europepmc +1 more source