Results 11 to 20 of about 97,755 (236)

D-vine copula based quantile regression [PDF]

Computational Statistics & Data Analysis, 2017
Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily ...
Daniel Kraus, Claudia Czado
openaire   +5 more sources

Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

Financial Innovation
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across five allocation strategies. The
Jules Clement Mba
doaj   +2 more sources

Correlation analysis of diabetes based on Copula [PDF]

Frontiers in Endocrinology
IntroductionThe ratio of Triglyceride (TG) to high-density lipoprotein cholesterol (HDL-C) is a crucial indicator for diabetes diagnosis.MethodsThis study utilizes the Copula function to model and fit the non-linear correlation among fasting blood ...
Chang Liu, Hu Yang, Junjie Yang, Hongqing Wang   +3 more
doaj   +2 more sources

Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]

تحقیقات مالی, 2022
Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
doaj   +1 more source

Modeling Asymmetric Dependence Structure of Air Pollution Characteristics: A Vine Copula Approach

Mathematics
Contaminated air is unhealthy for people to breathe and live in. To maintain the sustainability of clean air, air pollution must be analyzed and controlled, especially after unhealthy events.
Mohd Sabri Ismail, Nurulkamal Masseran, Mohd Almie Alias, Sakhinah Abu Bakar   +3 more
doaj   +2 more sources

Application of vine copulas to dependence analysis of water quality data [PDF]

Journal of Applied Research in Water and Wastewater, 2022
In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Mohammad Nazeri Tahroudi, Yousef Ramezani, Carlo De Michele, Rasoul Mirabbasi   +3 more
doaj   +1 more source

Textile effluent treatment using Avocado seeds based activated carbon [PDF]

Journal of Applied Research in Water and Wastewater, 2022
In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Jacques Munyegaju, Hakizimana Jean Nepo, Buscotin Beakou, Valerien Mutambyi, Uwitonze Nestor   +4 more
doaj   +1 more source

Simulation of potential evapotranspiration values based on vine copula

Meteorological Applications, 2021
Vine copula had a great impact on the study and analysis of dependence structures in various sciences. In multivariate analyses with dimensions of more than two variables, it is associated with computational complexities that solve vine copulas and these
Abbas Khashei‐Siuki, Ali Shahidi, Yousef Ramezani, Mohammad Nazeri Tahroudi   +3 more
doaj   +1 more source

Smooth nonparametric Bernstein vine copulas [PDF]

Quantitative Finance, 2012
We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis of financial market data, we show
Gregor Wei{\ss}, Marcus Scheffer
openaire   +2 more sources

Vine constructions of Lévy copulas [PDF]

Journal of Multivariate Analysis, 2013
Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dimensions. To overcome this problem,
Grothe, Oliver, Nicklas, Stephan
openaire   +3 more sources