Results 211 to 220 of about 94,299 (278)
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Earthquake Engineering & Structural Dynamics
A room, as a critical unit of a building, plays a key role in fulfilling functional demands, which relies on the coordinated performance of essential equipment and facilities.
Jin Liu +4 more
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A room, as a critical unit of a building, plays a key role in fulfilling functional demands, which relies on the coordinated performance of essential equipment and facilities.
Jin Liu +4 more
semanticscholar +1 more source
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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Applied Economics
Considering the frequency domain and nonlinear characteristics of financial risks, we propose a VMD-Vine copula-CoVaR framework to study the dependence structures and risk spillovers among international financial markets at different time scales ...
Jia Wang, Xinzhu Yan, Yuan Cao, Xu Wang
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Considering the frequency domain and nonlinear characteristics of financial risks, we propose a VMD-Vine copula-CoVaR framework to study the dependence structures and risk spillovers among international financial markets at different time scales ...
Jia Wang, Xinzhu Yan, Yuan Cao, Xu Wang
semanticscholar +1 more source
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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Vine copula‐based scenario tree generation approaches for portfolio optimization
Journal of ForecastingThis paper presents an efficient heuristic to generate multi‐stage scenario trees for portfolio selection problems. In the case of two or more risky assets, investors need to account for the complex multivariate dependence among different assets.
Xiaolei He, Weiguo Zhang
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Process monitoring via dependence description based on variable selection and vine copula
Measurement science and technologyProcess monitoring is crucial to ensure the safety of industrial processes. Generally, the monitoring process involves all measured variables; however, large industrial processes contain many redundant variables.
Xinpeng Bai +3 more
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Comparing Regular Vine Copula Models
2019In this chapter, we want to compare the fit of two or more regular vine copula specifications for a given copula data set.
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Vine Copula Specifications for Stationary Multivariate Markov Chains
Journal of Time Series Analysis, 2014Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary multivariate higher‐order Markov chains.
Beare, Brendan K., Seo, Juwon
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2024 7th International Conference on Energy, Electrical and Power Engineering (CEEPE)
Scenario generation of multiple wind farm power output is the basis of security assessment of the power system with a high proportion of wind power. There is a spatial correlation among multiple wind farm power output.
Ruiyang Su +4 more
semanticscholar +1 more source
Scenario generation of multiple wind farm power output is the basis of security assessment of the power system with a high proportion of wind power. There is a spatial correlation among multiple wind farm power output.
Ruiyang Su +4 more
semanticscholar +1 more source