Results 161 to 170 of about 289 (177)
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Copula and Vine Modeling for Finance
2017This article gives an introduction to copulas, pair copula constructions, and vines and presents some examples of their applications to financial problems.
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Simulating Regular Vine Copulas and Distributions
2019For simulation from a d-dimensional distribution function \(F_{1,..., d}\) with conditional distribution functions \(F_{j|1,\ldots , j-1}(\cdot |x_1,\ldots , x_{j-1})\) and their inverses \(F_{j|1,\dots , j-1}^{-1}(\cdot |x_1,\ldots , x_{j-1})\) for \(j=2,\ldots , d\) we can use iterative inverse probability transformations.
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Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas
Mathematics, 2019Jianxu Liu +2 more
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Application of Vine Copulas to Credit Portfolio Risk Modeling
Journal of Risk and Financial Management, 2016Fischer Matthias
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Multivariate environmental contours using C-vine copulas
Ocean Engineering, 2016R Montes-Iturrizaga, E Heredia-Zavoni
exaly
Multivariate modeling of flood characteristics using Vine copulas
Environmental Earth Sciences, 2020Fatih Tosunoglu +2 more
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