Search Results - subject:"Copula functions"

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Granger-causality in quantiles between financial markets: Using copula approach

Lee, Tae-Hwy; Yang, Weiping - In: International Review of Financial Analysis 33 (2014) C, pp. 70-78

quantiles. Dependence between returns of two financial markets is modeled using a parametric copula. Different copula functions …

Persistent link: https://www.econbiz.de/10010786513

The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange

Domino, Krzysztof; Błachowicz, Tomasz - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 77-85

In our work copula functions and the Hurst exponent calculated using the local Detrended Fluctuation Analysis (DFA … copula functions and the Hurst exponent calculated using local DFA is a new approach. For copula function analysis bivariate …

Persistent link: https://www.econbiz.de/10011060119

The use of copula functions for predictive analysis of correlations between extreme storm tides

Domino, Krzysztof; Błachowicz, Tomasz; Ciupak, Maurycy - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 489-497

of copula functions. As a practical example we analysed maximum storm tides data recorded at five spatially separated … places at the Baltic Sea. For the analysis we used Gumbel, Clayton, and Frank copula functions and introduced the reversed …

Persistent link: https://www.econbiz.de/10011061192

Copula selection for graphical models in continuous Estimation of Distribution Algorithms

Salinas-Gutiérrez, Rogelio; Hernández-Aguirre, Arturo; … - In: Computational Statistics 29 (2014) 3, pp. 685-713

This paper presents the use of graphical models and copula functions in Estimation of Distribution Algorithms (EDAs …) for solving multivariate optimization problems. It is shown in this work how the incorporation of copula functions and … means of copula functions and two well known graphical models, this paper presents a novel approach for defining new EDAs …

Persistent link: https://www.econbiz.de/10010998482

Granger-causality in quantiles between financial markets : using copula approach

Lee, Tae-hwy; Yang, Weiping - In: International review of financial analysis 33 (2014), pp. 70-78

Persistent link: https://www.econbiz.de/10010520073

An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007

In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...

Persistent link: https://www.econbiz.de/10010266935

Modelling stochastic mortality for dependent lives

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2007

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to rep- resent mortality risk. This paper represents a .rst attempt to model the mortality risk of couples of individuals, according to the stochastic inten-...

Persistent link: https://www.econbiz.de/10005094084

A Model for Multivariate Non-negative Valued Processes in Financial Econometrics

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

multivariate non-negative valued random variables. We suggest the use of copula functions to jointly estimate the parameters of the …

Persistent link: https://www.econbiz.de/10005731544

A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2006

Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes …

Persistent link: https://www.econbiz.de/10010266919

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2006

depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula … functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized …

Persistent link: https://www.econbiz.de/10010266928