Search Results - subject:"copula function"

Bernstein estimator for unbounded density copula

Bouezmarni, Taoufik; El Ghouch, Anouar; Taamouti, Abderrahim - 2011

Persistent link: https://www.econbiz.de/10009704701

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2011

Persistent link: https://www.econbiz.de/10008938571

Families of copulas closed under the construction of generalized linear means

Klein, Ingo; Christa, Florian - 2011

We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...

Persistent link: https://www.econbiz.de/10008824120

Modelling dependence of extreme events in energy markets using tail copulas

Jäschke, Stefan; Siburg, Karl Friedrich; Stoimenov, … - 2011

Persistent link: https://www.econbiz.de/10008841122

Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation

Hubbard, Timothy P.; Li, Tong; Paarsch, Harry J. - 2011

Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large,...

Persistent link: https://www.econbiz.de/10008860091

Can crop yield risk be globally diversified?

Liu, Xiaoliang; Xu, Wei; Odening, Martin - 2011

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world's major production regions have been quoted as one factor among others for the price boom. Against this background, we analyse the stochasticity of crop yields in...

Persistent link: https://www.econbiz.de/10008905982

Weighted power mean copulas : theory and application

Klein, Ingo; Fischer, Matthias; Pleier, Thomas - 2011

It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different counterexamples reveal. However, various conditions regarding...

Persistent link: https://www.econbiz.de/10008808722

Modeling stock market indexes with copula functions

Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 2, pp. 1-16

models for returns and copula functions. The copula function models provide an effective and interesting technique of … multivariate distribution with a help of corresponding marginal distributions and a selected copula function. In this work we … present an application of copula function to construct multivariate conditional distributions of times series. In the last …

Persistent link: https://www.econbiz.de/10009313688

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

Avanzi, Benjamin - 2011

In this paper we investigate the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. We analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Lévy copula...

Persistent link: https://www.econbiz.de/10013130378

Copula Parameter Estimation – Numerical Considerations and Implications for Risk Management

Weiß, Gregor - 2011

The purpose of this paper is to present a comprehensive simulation study on the finite sample properties of minimum-distance and maximum-likelihood estimators for bivariate and multivariate parametric copulas. For five popular parametric copulas, classical maximum-likelihood is compared to a...

Persistent link: https://www.econbiz.de/10013133208