Results 41 to 50 of about 1,223 (165)
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
openaire +8 more sources
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
openaire +4 more sources
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
openaire +3 more sources
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
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
openaire +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 +2 more
openaire +2 more sources
Vine copula statistical disclosure control for mixed-type data
, 2022 In this paper, we develop a new statistical disclosure control (SDC) method for mixed-type data based on vine copulas. The use of Gaussian and skew-t copulas has been demonstrated to be capable of incorporating information from the marginal distributions
So, Mike K.P. +3 more
core +1 more source
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
Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies.
PLoS ONE, 2020 Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance. It is often that we encounter several risks, in practice, instead of single risk.
Khreshna Syuhada, Arief Hakim
doaj +1 more source
Prediction based on conditional distributions of vine copulas [PDF]
Computational Statistics & Data Analysis, 2019 Vine copulas are a flexible tool for multivariate non-Gaussian distributions. For data from an observational study where the explanatory variables and response variables are measured together, a proposed vine copula regression method uses regular vines and handles mixed continuous and discrete variables.
Bo Chang 0002, Harry Joe
openaire +2 more sources