Results 181 to 190 of about 70,213 (199)

TIME VARYING VINE COPULAS

2010
Empirical researches in financial literature have shown evidence of a skewness and a time conditioning in the univariate behaviour of stock returns and, overall, in their dependence structure. The inadequacy of the elliptical and, in general, symmetrical multivariate constant model assumptions, when this type of dependence occurs, is an almost stylized
openaire   +2 more sources

Copula and Vine Modeling for Finance

2017
This article gives an introduction to copulas, pair copula constructions, and vines and presents some examples of their applications to financial problems.
openaire   +1 more source

Modelling Mortality Dependence: An Application of Dynamic Vine Copula

Insurance: Mathematics and Economics, 2021
Rui Zhou
exaly  

Comparing Regular Vine Copula Models

2019
In this chapter, we want to compare the fit of two or more regular vine copula specifications for a given copula data set.
openaire   +1 more source

Modeling Multivariate Distribution of Multiple Soil Parameters Using Vine Copula Model

Computers and Geotechnics, 2020
Xiaohui Qi, Dian-Qing Li
exaly  

Vine Copula Selection Using Mutual Information for Hydrological Dependence Modeling

Environmental Research, 2020
Jianyun Zhang, Jianfeng Wu, Yuankun Wang
exaly  

On Copula-Based Collective Risk Models: From Elliptical Copulas to Vine Copulas

Scandinavian Actuarial Journal, 2021
Woojoo Lee, Jae Youn Ahn, Rosy Oh
exaly  

Analyzing Dependent Data With Vine Copulas

Lecture Notes in Statistics, 2019
Claudia Czado
exaly  

Multivariate Environmental Contours Using C-Vine Copulas

Ocean Engineering, 2016
R Montes-Iturrizaga, E Heredia-Zavoni
exaly  

Analysis of Multivariate Dependent Accelerated Degradation Data Using a Random-Effect General Wiener Process and D-Vine Copula

Reliability Engineering and System Safety, 2020
Fuqiang Sun, Haitao Liao
exaly