Results 31 to 40 of about 94,299 (278)

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., Ashraf, Mohammad.A., McAleer, Michael, Powell, Robert J., Singh, Abhay K.   +4 more
openaire   +8 more sources

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
doaj   +1 more source

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, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach

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, Charles Raoul Tchuinkam Djemo   +1 more
doaj   +1 more source

Copulas and Vines

, 2017
Copulas and vines allow us to model the distribution of multivariate random variables in a flexible way. This article introduces copulas via Sklar's theorem, explains how pair copula constructions are built by decomposing multivariate copula densities, and illustrates vine graphical representations.
Luciana Dalla Valle
openalex   +4 more sources

A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence [PDF]

, 2015
A bivariate copula mixed model has been recently proposed to synthesize diagnostic test accuracy studies and it has been shown that it is superior to the standard generalized linear mixed model in this context.
Aas K, Aristidis K Nikoloulopoulos, Brenner H, Chu H, Chu H, Demidenko E, Genest C, Genest C, Genest C, Hamza TH, Hoyer A, Hua L, Hult H, Joe H, Joe H, Joe H, Joe H, Joe H, Karageorgopoulos DE, Kurowicka D, Kuss O, Leeflang MMG, Leeflang MMG, Ma X, Mavridis D, McNeil AJ, Nash JC, Nelsen RB, Nikoloulopoulos AK, Nikoloulopoulos AK, Nikoloulopoulos AK, Nikoloulopoulos AK, Nikoloulopoulos AK, Nikoloulopoulos AK, Nikoloulopoulos AK, Panagiotelis A, Paul M, Serfling RJ, Shen C, Stroud AH, Vuong QH, Ye Y   +41 more
core   +2 more sources

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, Mangold, Benedikt, Krauss, Christopher   +2 more
openaire   +2 more sources

Forecasting Crude Oil Prices with Major S&P 500 Stock Prices: Deep Learning, Gaussian Process, and Vine Copula

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
doaj   +1 more source

Structured Expert Elicitation of Dependence Between River Tributaries Using Nonparametric Bayesian Networks. [PDF]

Risk Anal
ABSTRACT In absence of sufficient data, structured expert judgment is a suitable method to estimate uncertain quantities. While such methods are well established for individual variables, eliciting their dependence in a structured manner is a less explored field of research.
Rongen G, Morales-Nápoles O, Worm D, Kok M.   +3 more
europepmc   +2 more sources

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
openaire   +3 more sources