Results 121 to 130 of about 94,299 (278)

Tail Risk in Weather Derivatives

Commodities
Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen   +2 more
doaj   +1 more source

Factor Copula through a vine structure

, 2012
Copula functions have been widely used in actuarial science, finance and econometrics. Though multivariate copulas allow for a flexible specification of the dependence structure of economic variables, they are not particularly tempting in high dimensional contexts.
openaire   +3 more sources

Joint Probability Distribution of Typhoon Disaster Chain "Strong Wind-Rainstorm- Storm Surge" Based on C-Vine Copula Function

Redai dili
Typhoons and their associated disaster chains pose serious threats to the lives and property of coastal residents, and they remain a focal point for research and response.
Zhou Ziying, Yang Saini, Liu Xiaoyan, Tang Jiting, Shi Yongguo   +4 more
doaj   +1 more source

Canonical Vine Copulas in the Context of Modern Portfolio Management

, 2018
Rand Kwong Yew Low, Jamie Alcock, Robert W. Faff, Timothy J. Brailsford   +3 more
openalex   +2 more sources

D-Vine GAM Copula based Quantile Regression with Application to Ensemble Postprocessing [PDF]

, 2023
David Jobst, Annette Möller, Jürgen Groß   +2 more
openalex   +1 more source

Evolution of flood protection levels and flood vulnerability in Europe since 1950 estimated with vine-copula models

Natural Hazards
The magnitude of flood impacts is regulated not only by hydrometeorological hazard and exposure, but also flood protection levels (primarily from structural flood defenses) and vulnerability (relative loss at given intensity of hazard).
D. Paprotny, C.M.P. ’t Hart, O. Morales-Nápoles   +2 more
semanticscholar   +1 more source

An econometric Study for Vine Copulas

, 2011
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable ...
Guegan, Dominique, Maugis, Pierre-André
openaire   +2 more sources

Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling [PDF]

, 2020
Martin Bladt, Alexander J. McNeil
openalex  

Interval Forecasting Method of Aggregate Output for Multiple Wind Farms Using LSTM Networks and Time-Varying Regular Vine Copulas [PDF]

, 2023
Yanwen Wang, Yanying Sun, Yalong Li, Feng Chen, Peng Chen   +4 more
openalex   +1 more source

Dependence structure analysis of multisite river inflow data using vine copula-CEEMDAN based hybrid model. [PDF]

PeerJ, 2020
Nazir HM, Hussain I, Faisal M, Mohamd Shoukry A, Abdel Wahab Sharkawy M, Fawzi Al-Deek F, Ismail M.   +6 more
europepmc   +1 more source