Results 141 to 150 of about 462 (184)
Vine copula based structural equation models
Computational Statistics & Data Analysisopenaire +2 more sources
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Annual Review of Statistics and Its Application, 2022
Statistics
Czado, Claudia (author) +1 more
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Statistics
Czado, Claudia (author) +1 more
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Modeling vine-production function: An approach based on Vine Copula
Physica A: Statistical Mechanics and its Applications, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Constantino, Michel +4 more
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On copula-based collective risk models: from elliptical copulas to vine copulas
Scandinavian Actuarial Journal, 2020Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity.
Rosy Oh, Jae Youn Ahn, Woojoo Lee
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Robust Portfolio Selection Using Vine Copulas
SSRN Electronic Journal, 2020Portfolio optimization problems involving Conditional Value-at-Risk (CVaR) are often computationally intractable and require complete information about the distribution of returns, which is rarely available in practice. These difficulties are compounded when the portfolio contains a lot of assets.
Yingwei Han, Ping Li
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2013
Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of a vine tree structure, the copula families for each pair copula term and their corresponding parameters.
Claudia Czado +2 more
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Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of a vine tree structure, the copula families for each pair copula term and their corresponding parameters.
Claudia Czado +2 more
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Vine Copula Models with GLM and Sparsity
SSRN Electronic Journal, 2016Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models.
Dezhao Han, Ken Seng Tan, Chengguo Weng
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Measuring systemic risk using vine-copula
Economic Modelling, 2016We present an intuitive model of systemic risk to analyse the complex interdependencies between different borrowers. We characterise systemic risk by the way that financial institutions are interconnected. Using their probability of default, we classify different international financial institutions into five rating groups. Then we use the state-of-the-
Armin Pourkhanali +3 more
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A multivariate volatility vine copula model
Econometric Reviews, 2016ABSTRACTThis article proposes a dynamic framework for modeling and forecasting of realized covariance matrices using vine copulas to allow for more flexible dependencies between assets. Our model automatically guarantees positive definiteness of the forecast through the use of a Cholesky decomposition of the realized covariance matrix.
Brechmann, Eike Christian +2 more
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Vine copula regression for observational studies
AStA Advances in Statistical Analysis, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger M. Cooke, Harry Joe, Bo Chang
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