Results 11 to 20 of about 93,814 (220)
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 +2 more sources
Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas
Mathematics, 2019 Multivariate copulas have been widely used to handle risk in the financial market. This paper aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure and compare the financial risks of the emerging economy, developed ...
Jianxu Liu, Songsak Sriboonchitta
exaly +2 more sources
International Journal of Financial Studies, 2022 This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India ...
Benjamin Mudiangombe Mudiangombe +1 more
doaj +2 more sources
Energy Reports, 2020 The accuracy of correlation modeling for multiple wind farms will directly affect the assessment results of absorption capacity in electric utilities. Due to the rapid increase in installed capacity of wind power in recent years, there are often multiple
Kai Qu, Gangquan Si, Pai Li
exaly +3 more sources
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
Journal of Statistical Software, 2013 Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann +1 more
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Application of Vine Copulas to Credit Portfolio Risk Modeling
Journal of Risk and Financial Management, 2016 In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a ...
Marco Geidosch +3 more
exaly +2 more sources
IEEE AccessUsing copulas in statistics evaluates the dependence between random variables. Copula modeling has significantly been used in many areas, especially in the search for multivariate distributions.
Amir Shahirinia +4 more
doaj +2 more sources
Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales.
Joe, Harry +3 more
core +3 more sources
Risk Measurement and Risk Modelling Using Applications of Vine Copulas [PDF]
Sustainability, 2017 This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk.
David E Allen +2 more
exaly +2 more sources
Financial dependence analysis: Applications of vine copulas [PDF]
Statistica Neerlandica, 2014 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.
Allen, DE +4 more
core +9 more sources