Výsledky vyhledávání - "T COPULAS"

Estimation in copula models with two-piece skewed margins using the inference for margins method

Autoři: Jonas Baillien Irène Gijbels Anneleen Verhasselt

Zdroj: Econometrics and Statistics. 34:91-108

Témata: Science & Technology, Fisher information, Economics, Statistics & Probability, 05 social sciences, Social Sciences, Generalized method of moments, Skewed distributions, 01 natural sciences, 4905 Statistics, 3802 Econometrics, T COPULAS, Business & Economics, Physical Sciences, 0502 economics and business, Asymptotic normality, Consistency, 0101 mathematics, Mathematics

Přístupová URL adresa: https://lirias.kuleuven.be/handle/20.500.12942/710126
https://doi.org/10.1016/j.ecosta.2022.05.002

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Autoři: Duy Duong Toan Luu Duc Huynh

Zdroj: Financial Innovation, Vol 6, Iss 1, Pp 1-26 (2020)

Témata: ASEAN, Stock indexes, Chi-plots, K-plots, T-copulas, Time-varying copulas, Public finance, K4430-4675, Finance, HG1-9999

Popis souboru: electronic resource

Relation: https://doaj.org/toc/2199-4730

Přístupová URL adresa: https://doaj.org/article/2df9323d0d344689bb15a50b14b78971

Modelling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

Autoři: Mario Cerrato John Crosby Minjoo Kim a další

Zdroj: SSRN Electronic Journal.

Témata: jel:G17, asymmetry, tail dependence, dependence dynamics, dynamic skewed t copulas, VaR and ES forecasting, jel:C53, 0502 economics and business, 05 social sciences, jel:C32, 0101 mathematics, 01 natural sciences, jel:G32

Přístupová URL adresa: https://www.ssrn.com/abstract=2460168
https://www.gla.ac.uk/media/media_412847_en.pdf
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2620825_code2197816.pdf?abstractid=2460168&mirid=1&type=2
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2569633_code2197816.pdf?abstractid=2460168&mirid=3
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2460168
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2460168_code2197816.pdf?abstractid=2460168&mirid=1
http://www.gla.ac.uk/media/media_412847_en.pdf

Using the skew-t copula to model bivariate rainfall distribution

Přispěvatelé: Zakaria,Roslinazairimah Metcalfe, Andrew Howlett, Philip George a další

Témata: tail dependence, t-copulas, multi-site rainfall

Přístupová URL adresa: https://hdl.handle.net/1959.8/119437

Scenario Creation for Stress Testing Using Copula Transformation

Autoři: Nystedt, Gustav

Témata: Stress Testing, Stress Testing Scenarios, Scenario Generation, Copulas, t-copulas, Copula Transformation, Engineering and Technology, Teknik och teknologier

Popis souboru: application/pdf

Dostupnost: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160352

Using the skew-t copula to model bivariate rainfall distribution

Autoři: Zakaria, Roslinazairimah Metcalfe, Andrew Piantadosi, Julia a další

Zdroj: ANZIAM Journal; Vol. 51 (2009); C231--C246 ; 1445-8810

Témata: asymmetric t-copulas, multi-site rainfall, tail dependence, 62H20, 62P12, geo

Relation: https://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/2030

Dostupnost: https://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/2030

MODELING FUNCTIONAL DATA WITH SPATIALLY HETEROGENEOUS SHAPE CHARACTERISTICS

Autoři: Staicu, Ana-Maria Crainiceanu, Ciprian M. Reich, Daniel S. a další

Zdroj: Johns Hopkins University, Dept. of Biostatistics Working Papers

Témata: Gaussian and t-copulas, Qunatile modeling, Skewed functional data, Tractography Data, Biostatistics, stat, geo

Relation: https://biostats.bepress.com/jhubiostat/paper221

Dostupnost: https://biostats.bepress.com/jhubiostat/paper221

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Autoři: Cerrato, Mario Crosby, John Kim, Minjoo a další

Témata: asymmetry, tail dependence, dependence dynamics, dynamic skewed t copulas, VaR and ES forecasting, eco, manag

Relation: http://hdl.handle.net/10943/686

Dostupnost: http://hdl.handle.net/10943/686

Pricing of Rainfall Insurance in India using Gaussian and t Copulas

Autoři: Shah, Anand

Témata: rainfall insurance in India, 13. Climate action, 1. No poverty, Environmental Economics and Policy, 15. Life on land, Gaussian and t Copulas, Weather derivatives, agriculture yields, pricing in incomplete markets, Monte Carlo simulations

Přístupová URL adresa: https://socionet.ru/publication.xml?h=repec:ags:aesc16:236288
https://ageconsearch.umn.edu/record/236288/
https://ideas.repec.org/p/ags/aesc16/236288.html