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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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The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange
Managerial Economics, 2015 Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means
Henryk Gurgul, Robert Syrek
doaj +1 more source
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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Factor copula models for item response data [PDF]
, 2015 Factor or conditional independence models based on copulas are proposed for multivariate discrete data such as item responses. The factor copula models have interpretations of latent maxima/minima (in comparison with latent means) and can lead to more ...
A. Maydeu-Olivares +29 more
core +1 more source
Queueing analysis of opportunistic scheduling with spatially correlated channels [PDF]
, 2019 International ...
De Turck, Koen +3 more
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An Econometric Study of Vine Copulas [PDF]
SSRN Electronic Journal, 2010 We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable ...
Dominique Guegan, Pierre-André Maugis
openaire +3 more sources
Application of a Vine Copula for Multi-Line Insurance Reserving
Risks, 2020 This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss
Himchan Jeong, Dipak Dey
doaj +1 more source
A New Wind Speed Scenario Generation Method Based on Principal Component and R-Vine Copula Theories
Energies, 2022 The intermittent and uncertain properties of wind power have presented enormous obstacles to the planning and steady operation of power systems. In this context, as an effective technique to study wind power uncertainty, the development of an accurate ...
Hui Hwang Goh +6 more
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Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series
, 2018 We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational approximation to a tractable augmented posterior, and is faster than ...
Loaiza-Maya, Ruben +1 more
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
, 2019 We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional representation. Second, the multivariate distribution of the encoded data is estimated with vine copulas.
Tagasovska, Natasa +2 more
openaire +3 more sources