Search Results - subject:"Empirical Copula"

Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula

Wanat, Stanisław; Papież, Monika; Śmiech, Sławomir - Volkswirtschaftliche Fakultät, … - 2014

investigate Granger causality a nonparametric test based on the empirical copula is used, which was proposed by Genest and …

Persistent link: https://www.econbiz.de/10011112914

A Comparative Analysis of ASEAN Currencies Using a Copula Approach and a Dynamic Copula Approach

Chaiboonsri, Chukiat; Chaitip, Prasert - In: Annals of the University of Petrosani, Economics 12 (2012) 4, pp. 39-52

have a linear correlation during the specific period excluding Vietnam exchange rate. Furthermore, based on empirical … Copula Approach, Thai Baht exchange rate had a dependent structure with each of the selected in ASEAN currencies including …

Persistent link: https://www.econbiz.de/10010773880

Livestock Gross Margin Insurance for Dairy: Designing Margin Insurance Contracts to Account for Tail Dependence Risk

Bozic, Marin; Newton, John; Thraen, Cameron S.; Gould, … - Agricultural and Applied Economics Association - AAEA - 2012

is mostly reflecting tail dependence. Using the empirical copula approach we find that non-parametric method of modeling …

Persistent link: https://www.econbiz.de/10010881190

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10010325942

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - School of Economics, UNSW Business School - 2008

; Kullback-Leibler Information Criterion; empirical copula JEL Classification: C12; C14; C32; C52; C53 ∗Corresponding author … Sornette (2003), Fermanian (2005), and Berg and Bakken (2007); based on the empirical copula (DeHeuvels, 1979) and the copula … distribution function by Genest and R´emillard (in press) and Genest et al. (in press); based on the empirical copula and the CDF …

Persistent link: https://www.econbiz.de/10005422761

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the Journal of Economic Dynamics & Control, 34(9), 1596-1609. We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...

Persistent link: https://www.econbiz.de/10011256012

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10011377261

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute

Persistent link: https://www.econbiz.de/10005144392