Search Results - subject:"IFM method"

A comparison study of copula models for European financial index returns

Tofoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: International journal of economics and finance 9 (2017) 10, pp. 155-178

Persistent link: https://www.econbiz.de/10011764112

Fitting Drought Duration and Severity with Two-Dimensional Copulas

Shiau, J. - In: Water Resources Management 20 (2006) 5, pp. 795-815

of inference function for margins (IFM method) is employed to construct copulas. Two separate maximum likelihood …

Persistent link: https://www.econbiz.de/10010794071

Aggregation of Dependent Risks Using the Koehler–Symanowski Copula Function

Palmitesta, Paola; Provasi, Corrado - In: Computational Economics 25 (2005) 1, pp. 189-205

This study examines the Koehler and Symanovski copula function with specific marginals, such as the skew Student-t, the skew generalized secant hyperbolic, and the skew generalized exponential power distributions, in modelling financial returns and measuring dependent risks. The copula function...

Persistent link: https://www.econbiz.de/10005701642