Results 11 to 20 of about 3,920 (236)
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression
Risks, 2017 Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors
Matthias Fischer +3 more
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Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]
HeliyonAfzal F, Pan H, Afzal F, Gul RF.
europepmc +2 more sources
Application of vine copulas to dependence analysis of water quality data [PDF]
Journal of Applied Research in Water and Wastewater, 2022 In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Mohammad Nazeri Tahroudi +3 more
doaj +1 more source
Textile effluent treatment using Avocado seeds based activated carbon [PDF]
Journal of Applied Research in Water and Wastewater, 2022 In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Jacques Munyegaju +4 more
doaj +1 more source
Vine Copula Models with GLM and Sparsity
SSRN Electronic Journal, 2017 Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models.
Dezhao Han, Ken Seng Tan, Chengguo Weng
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Streamflow estimation at partially gaged sites using multiple-dependence conditions via vine copulas [PDF]
Hydrology and Earth System Sciences, 2021 Reliable estimates of missing streamflow values are relevant for water resource planning and management. This study proposes a multiple-dependence condition model via vine copulas for the purpose of estimating streamflow at partially gaged sites.
K.-H. Ahn
doaj +1 more source
Structured Expert Elicitation of Dependence Between River Tributaries Using Nonparametric Bayesian Networks. [PDF]
Risk AnalABSTRACT 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 +3 more
europepmc +2 more sources
Smooth nonparametric Bernstein vine copulas [PDF]
Quantitative Finance, 2012 We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis of financial market data, we show
Gregor Wei{\ss}, Marcus Scheffer
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MATVines: A vine copula package for MATLAB
SoftwareX, 2021 Vine copulas provide a way to model a d-dimensional copula with bivariate building blocks and have been applied to a wide range of research topics. The MATVines package is presented, which implements vine copula functionalities for MATLAB. In particular,
Maximilian Coblenz
doaj +1 more source
Vine constructions of Lévy copulas [PDF]
Journal of Multivariate Analysis, 2013 Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dimensions. To overcome this problem,
Grothe, Oliver, Nicklas, Stephan
openaire +3 more sources