Search Results - subject:"Copula function"

Quantile and Copula spectrum : a new approach to investigate cyclical dependence in economic time series

Dufrénot, Gilles; Matsuki, Takashi; Sugimoto, Kimiko - In: Recent econometric techniques for macroeconomic and …, (pp. 3-34). 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard...

Persistent link: https://www.econbiz.de/10012395263

Redundancy in systems with heterogeneous dependent components

Navarro, Jorge; Fernández-Martínez, Pedro - In: European journal of operational research : EJOR 290 (2021) 2, pp. 766-778

Persistent link: https://www.econbiz.de/10012495254

Copula-based random effects models for clustered data

Pereda-Fernández, Santiago - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 575-588

Persistent link: https://www.econbiz.de/10012499101

Ranking the extreme claim amounts in dependent individual risk models

Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247

Persistent link: https://www.econbiz.de/10012500261

Mapping conditional scenarios for knowledge structuring in (tail) dependence elicitation

Werner, Christoph; Bedford, Tim; Quigley, John - In: Journal of the Operational Research Society 72 (2021) 4, pp. 889-907

Persistent link: https://www.econbiz.de/10012501001

A new family of copulas, with application to estimation of a production frontier system

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Journal of productivity analysis : an official journal … 55 (2021) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012488596

Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence

Gong, Xiao-Li; Xiong, Xiong - In: Finance research letters 38 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012490240

Testing for relevant dependence change in financial data : a CUSUM copula approach

Kutzker, Tim; Stark, Florian; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 60 (2021) 4, pp. 1875-1894

Persistent link: https://www.econbiz.de/10012490683

Tail dependence between bitcoin and green financial assets

Naeem, Muhammad Abubakr; Karim, Sitara - In: Economics letters 208 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013207093

On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes

You, Yinping; Fan, Li; Li, Xiaohu - In: Operations research letters 49 (2021) 5, pp. 777-784

Persistent link: https://www.econbiz.de/10013207446