Results 21 to 30 of about 462 (184)
International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
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Synchronization frequency analysis and stochastic simulation of multi-site flood flows based on the complicated vine copula structure [PDF]
Hydrology and Earth System SciencesAccurately modeling and predicting flood flows across multiple sites within a watershed presents significant challenges due to potential issues of insufficient accuracy and excessive computational demands in existing methodologies.
X. Yu, Y.-P. Xu, Y. Guo, S. Chen, H. Gu
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Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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Axioms, 2022 This paper introduces methodologies in forecasting oil prices (Brent and WTI) with multivariate time series of major S&P 500 stock prices using Gaussian process modeling, deep learning, and vine copula regression.
Jong-Min Kim, Hope H. Han, Sangjin Kim
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Bayesian Model Selection of Regular Vine Copulas [PDF]
Bayesian Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gruber, Lutz F., Czado, Claudia
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Energy Science & Engineering, 2021 To consider the failure correlation among key subsystems, based on the reliability allocation method of the series system, a wind turbine reliability allocation calculation method based on the vine copula correlation model is proposed.
Yuanyuan Wu, Wenlei Sun
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Dependence Analysis of the ISE100 Banking Sector Using Vine Copula
İstanbul İktisat Dergisi, 2023 The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index ...
Bükre Yıldırım Külekci +3 more
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A New Wind Speed Scenario Generation Method Based on Principal Component and R-Vine Copula Theories
Energies, 2022 The intermittent and uncertain properties of wind power have presented enormous obstacles to the planning and steady operation of power systems. In this context, as an effective technique to study wind power uncertainty, the development of an accurate ...
Hui Hwang Goh +6 more
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An Econometric Study of Vine Copulas [PDF]
SSRN Electronic Journal, 2010 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 ...
Dominique Guegan, Pierre-André Maugis
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IET Energy Systems Integration, 2022 With the continuous development of Regional Integrated Energy System (RIES), demand response (DR) is composed of diversified loads including electric load, heat load and gas load.
Shuxin Tian +4 more
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