Results 21 to 30 of about 493 (178)
Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
Jurnal Fourier, 2018 Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear.
Herida Okta Pintari, Retno Subekti
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ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA
E-Jurnal Matematika, 2019 Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA +2 more
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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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Financial dependence analysis: applications of vine copulas [PDF]
Statistica Neerlandica, 2013 This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk, namely regular vine copulas. Dependence modelling using copulas is a popular tool in financial applications but is usually applied to pairs of securities.
Allen, David E. +4 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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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
CoRR, 2019 We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional representation. Second, the multivariate distribution of the encoded data is estimated with vine copulas.
Tagasovska, Natasa +2 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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Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 more
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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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