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Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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Forecasted Scenarios of Regional Wind Farms Based on Regular Vine Copulas
Journal of Modern Power Systems and Clean Energy, 2020 Owing to the uncertainty and volatility of wind energy, forecasted wind power scenarios with proper spatio-temporal correlations are needed in various decision-making problems involving power systems.
Zhao Wang +3 more
doaj +1 more source
covsim: An R Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas
Journal of Statistical Software, 2022 In factor analysis and structural equation modeling non-normal data simulation is traditionally performed by specifying univariate skewness and kurtosis together with the target covariance matrix.
Steffen Grønneberg +2 more
doaj +1 more source
A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence [PDF]
, 2015 A bivariate copula mixed model has been recently proposed to synthesize diagnostic test accuracy studies and it has been shown that it is superior to the standard generalized linear mixed model in this context.
Aas K +41 more
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Bayesian Model Selection of Regular Vine Copulas [PDF]
Bayesian Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gruber, Lutz F., Czado, Claudia
openaire +3 more sources
Nonparametric C- and D-vine-based quantile regression
Dependence Modeling, 2022 Quantile regression is a field with steadily growing importance in statistical modeling. It is a complementary method to linear regression, since computing a range of conditional quantile functions provides more accurate modeling of the stochastic ...
Tepegjozova Marija +3 more
doaj +1 more source
Extreme risk spillovers between China and major international stock markets
Modern Finance, 2023 We examine the complex dependence structure and risk spillovers between the Chinese stock market and twelve major international markets. To this end, we employ three types of vine copulas and tests for the Granger causality in risk of Hong et al. (2009).
Lingling Qian +2 more
doaj +1 more source
copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas [PDF]
, 2014 The use of copula-based models in EDAs (estimation of distribution algorithms) is currently an active area of research. In this context, the copulaedas package for R provides a platform where EDAs based on copulas can be implemented and studied.
Gonzalez-Fernandez, Yasser, Soto, Marta
core +4 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 +4 more
doaj +1 more source
Estimation of Extreme Quantiles for Functions of Dependent Random Variables [PDF]
, 2013 We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying ...
Barclays Bank +4 more
core +4 more sources