Results 191 to 200 of about 3,920 (236)

Financial markets dependence modeling using vine copulae - Preliminary work for vine copula modeling in finance

, 2019
Petitjean, Simon Paul, Schiltz, Jang
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Management of Foreign Reserves: An Approach Based on Vine-Copula, Regime-Switching Dependence and Bayesian Opinion Pooling

, 2014
Fan Zhang
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Vine copula based structural equation models

Computational Statistics & Data Analysis
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Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method

, 2018
Kunlapath Sukcharoen, David J. Leatham
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Vine Copula Based Modeling

Annual Review of Statistics and Its Application, 2022
Statistics
Czado, Claudia (author), Nagler, T.W. (author)   +1 more
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Modeling vine-production function: An approach based on Vine Copula

Physica A: Statistical Mechanics and its Applications, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Constantino, Michel, Candido, Osvaldo, Borges, Eduardo, Silva, Thiago Christiano, Tabak, Benjamin Miranda   +4 more
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On copula-based collective risk models: from elliptical copulas to vine copulas

Scandinavian Actuarial Journal, 2020
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity.
Rosy Oh, Jae Youn Ahn, Woojoo Lee
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Robust Portfolio Selection Using Vine Copulas

SSRN Electronic Journal, 2020
Portfolio optimization problems involving Conditional Value-at-Risk (CVaR) are often computationally intractable and require complete information about the distribution of returns, which is rarely available in practice. These difficulties are compounded when the portfolio contains a lot of assets.
Yingwei Han, Ping Li
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Selection of Vine Copulas

2013
Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of a vine tree structure, the copula families for each pair copula term and their corresponding parameters.
Claudia Czado, Eike Christian Brechmann, Lutz Gruber   +2 more
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