Results 41 to 50 of about 38,637 (65)
, 2018 <p>Bayesian copula selection algorithms.</p> <p>Library of MatLab functions to estimate the probability of different copula models given a joint distribution of fractiles.</p ...
David Huard, Évin, Guillaume
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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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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
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To be or not to be? About the copula system in Buli (Gur) [PDF]
, 2008 This talk concerns the copula system in Buli, a Ghanaian language which has also been attested in Bahia (Rodrigues 1935, Zwernemann 1968). Special focus will be put on the categorization of two copula-reminiscent elements for which I will propose a ...
Schwarz, Anne
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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
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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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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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Kybernetika, 2009
Summary: We introduce four families of semilinear copulas (i.e., copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal ...
Tarad Jwaid +2 more
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Summary: We introduce four families of semilinear copulas (i.e., copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal ...
Tarad Jwaid +2 more
openaire +2 more sources
Kybernetika, 2007
Summary: We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals. The new copulas are in essence asymmetric, with maximum asymmetry given by \(1/16\).
Bernard De Baets +2 more
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Summary: We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals. The new copulas are in essence asymmetric, with maximum asymmetry given by \(1/16\).
Bernard De Baets +2 more
openaire +2 more sources