Results 31 to 40 of about 97,755 (236)
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
doaj +1 more source
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 +41 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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Pair-copula constructions of multiple dependence [PDF]
, 2006 Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti +3 more
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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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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
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
doaj +1 more source
Estimation of Extreme Quantiles for Functions of Dependent Random Variables [PDF]
, 2013 We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying ...
Barclays Bank +4 more
core +4 more sources
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
doaj +1 more source
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
doaj +1 more source