Results 81 to 90 of about 3,920 (236)
An Econometric Study of Vine Copulas [PDF]
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.
Dominique Guegan, Pierre-André Maugis
core
Univariate conditioning of vine copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Copula‐Based Cosimulation for Simulating Temporal or Spatial Data in Biogeosciences
Journal of Geophysical Research: Biogeosciences, Volume 130, Issue 10, October 2025.Abstract Accurate modeling of dependencies between variables of interest is imperative for understanding biophysical processes and mechanisms relevant to biogeosciences research. This study presents copula‐based cosimulation (CopCoSim) as an approach to model the temporal or spatial joint distributions of multiple variables by capturing their ...
Van Huong Le, Rodrigo Vargas
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In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas.
Dominique Guegan, Pierre-André Maugis
core
Multivariate modeling of flood characteristics using Vine copulas
Environmental Earth Sciences, 2020 Vine copulas provide a great deal of flexibility in modeling complex dependence structures between the variables. In spite of its importance, very limited attention has been paid in hydrology field. In the present study, multivariate modelling of flood characteristics was performed using traditional Archimedean and Elliptical and Vine copulas.
Fatih Tosunoglu +2 more
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Earthquake Engineering &Structural Dynamics, Volume 54, Issue 10, Page 2433-2452, August 2025.ABSTRACT A new generation of yielding links, referred to as cast steel replaceable modular yielding links (CMLs), was recently validated through extensive large‐scale testing, to enhance the seismic performance of steel eccentrically braced frames (EBFs). The effective use of CMLs relies on accurately evaluating the seismic response of the EBF systems,
Hongzhou Zhang, Pedram Mortazavi
wiley +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
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An econometric Study for Vine Copulas
, 2010 International audienceWe 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.
Guegan, Dominique, Maugis, Pierre-André
core
Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy
Journal of Futures Markets, Volume 45, Issue 8, Page 977-1005, August 2025.ABSTRACT Mitigating extreme tail risk is essential for institutions and corporations to prevent financial losses from severe asset price fluctuations across many asset classes. This study shows that a simple futures hedging strategy, the naïve hedge, is remarkably effective at managing tail risk—so much so that few other methods can beat it.
Min Cao, Thomas Conlon
wiley +1 more source
Developing a vine copula model to simulate and predict long serial lake water levels [PDF]
, 2023 Shixiang Gu +9 more
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