Results 31 to 40 of about 3,920 (236)
Trivariate joint frequency analysis of water resources deficiency signatures using vine copulas
Applied Water Science, 2022 Investigating the interaction of water resources such as rainfall, river flow and groundwater level can be useful to know the behavior of water balance in a basin.
Mohammad Nazeri Tahroudi +3 more
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Vine copulas structures modeling on Russian stock market
Discrete and Continuous Models and Applied Computational Science, 2019 Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in
Eugeny Yu. Shchetinin
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, 2017 Copulas and vines allow us to model the distribution of multivariate random variables in a flexible way. This article introduces copulas via Sklar's theorem, explains how pair copula constructions are built by decomposing multivariate copula densities, and illustrates vine graphical representations.
Luciana Dalla Valle
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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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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
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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
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Dependence structure across equity sectors: Evidence from vine copulas
Borsa Istanbul Review, 2023 Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from ...
Faheem Aslam +4 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
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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
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Vine copula based dependence modeling in sustainable finance
Journal of Finance and Data Science, 2022 Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which ...
Claudia Czado +5 more
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