Search Results - subject:"Copula Models"

Copula-based models of systemic risk in U.S. agriculture : implications for crop insurance and reinsurance contracts

Goodwin, Barry K.; Hungerford, Ashley - In: American journal of agricultural economics 97 (2015) 3, pp. 879-896

Persistent link: https://www.econbiz.de/10011296168

Forecasting US real house price returns over 1831 - 2013 : evidence from copula models

Gupta, Rangan; Majumdar, Anandamayee - In: Applied economics 47 (2015) 46/48, pp. 5204-5213

Persistent link: https://www.econbiz.de/10011318337

The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion

Horta, Paulo; Lagoa, Sérgio; Martins, Luís - In: International Review of Financial Analysis 35 (2014) C, pp. 140-153

test uses copula models to assess whether the correlation between the local Hurst exponents of the markets where the crises …

Persistent link: https://www.econbiz.de/10011077784

Properties of the marginal survival functions for dependent censored data under an assumed Archimedean copula

Wang, Antai - In: Journal of Multivariate Analysis 129 (2014) C, pp. 57-68

Given a random sample from a dependent censored variable (X,δ)=(min(T,C),1(TC)), general formulas are given for possible marginal survival functions of the failure time T and the censoring time C under the assumption that their underlying copula is Archimedean. These formulas are used to...

Persistent link: https://www.econbiz.de/10011042036

Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models

Majumdar, Anandamayee; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

the period of 1831-2013, this paper compares the ability of various univariate copula models, relative to standard …-2013, based on an in-sample of 1831-1858. Overall, our results provide overwhelming evidence in favor of the copula models (Normal …

Persistent link: https://www.econbiz.de/10011149761

The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets : implications for efficiency and contagion

Horta, Paulo; Lagoa, Sérgio; Martins, Luís Filipe - In: International review of financial analysis 35 (2014), pp. 140-153

Persistent link: https://www.econbiz.de/10010529616

Dependence patterns across Gulf Arab stock markets : a copula approach

Basher, Syed Abul; Nechi, Salem; Zhu, Hui - In: Journal of multinational financial management 25/26 (2014), pp. 30-50

Persistent link: https://www.econbiz.de/10010516825

A simplified model for studying bivariate mortality under right-censoring

Gribkova, Svetlana; Lopez, Olivier; Saint-Pierre, Philippe - In: Journal of Multivariate Analysis 115 (2013) C, pp. 181-192

survival copula models. The practical performance is illustrated through simulations and a real data analysis. …

Persistent link: https://www.econbiz.de/10010608113

Strategic asset allocation for China's foreign reserves : a copula approach

Zhang, Zhichao; Zhang, Fan; Zhang, Zhuang - In: China & world economy 21 (2013) 6, pp. 1-21

Persistent link: https://www.econbiz.de/10010251410

On the nonidentifiability property of Archimedean copula models under dependent censoring

Wang, Antai - In: Statistics & Probability Letters 82 (2012) 3, pp. 621-625

In this paper, we prove a peculiar property shared by the Archimedean copula models, that is, different Archimedean … copula models with distinct dependent levels can have the same crude survival functions for dependent censored data. This … property directly shows the nonidentifiability property of the Archimedean copula models. The proposed procedure is then …

Persistent link: https://www.econbiz.de/10011039959