Search Results - subject:"copulas"

Optimizing service operations with price- and density-dependent demand : a copula-based approach

Frazelle, Andrew E.; Rasulov, Toghrul; Wang, Shouqiang - In: Production and operations management : the flagship … 34 (2025) 6, pp. 1531-1548

Persistent link: https://www.econbiz.de/10015482562

Analyzing exchange rate dynamics within the global financial cycle: a dcc-copula approach by

Melo-Velandia, Luis Fernando; Romero, José Vicente; … - 2025

Persistent link: https://www.econbiz.de/10015461275

Enhancing insurer portfolio resilience and capital efficiency with green bonds : a framework combining dynamic R-vine copulas and tail-risk modeling

Thitivadee Chaiyawat; Pannarat Guayjarernpanishk - In: Risks : open access journal 13 (2025) 9, pp. 1-34

theory, and dynamic R-vine copulas, the framework effectively captures volatility, tail risks, and evolving asset …

Persistent link: https://www.econbiz.de/10015467328

Technical and environmental inefficiency measurement in agriculture using a flexible by-production stochastic frontier model

Skevas, Ioannis - In: Journal of agricultural economics : JAE 76 (2025) 1, pp. 164-181

Persistent link: https://www.econbiz.de/10015399249

A novel stochastic copula model for the Texas energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 13 (2025) 7, pp. 1-32

The simulation of wind power, electricity load, and natural gas prices will allow commodity traders to see the future movement of prices in a more probabilistic manner. The ability to observe possible paths for wind power, electricity load, and natural gas prices enables traders to obtain...

Persistent link: https://www.econbiz.de/10015436710

Spillovers between Euronext stock indices : the COVID-19 effect

Carneiro, Luana; Gomes, Luís; Lopes, Cristina; … - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-17

The financial markets are highly influential and any change in the economy can be reflected in stock prices and thus have an impact on stock indices. The relationship between stock indices and the way they are affected by extreme phenomena is important for defining diversification strategies and...

Persistent link: https://www.econbiz.de/10015436919

Copula-based trading of cointegrated cryptocurrency Pairs

Tadi, Masood; Witzany, Jiří - In: Financial innovation : FIN 11 (2025), pp. 1-32

This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To … previously examined trading strategies of pairs based on cointegration or copulas in terms of profitability and risk …

Persistent link: https://www.econbiz.de/10015559473

Spurious relationships for energy patents using various dependency measures : the case of G7 countries

Agiakloglou, Nikolaos; Georgopoulos, Nikolaos - In: Journal of economics and finance : JEF 49 (2025) 4, pp. 942-962

Persistent link: https://www.econbiz.de/10015591613

Frailty model and dependence structure for bivariate survival data

Idiou, Nesrine; Benatia, Fatah; Mesbah, Mounir - In: Croatian review of economic, business and social … 11 (2025) 2, pp. 1-12

Copulas and their uses in statistics, namely biostatistics, are a relatively new field of research. When modeling the … dependence structure between a vector random variable's joint distribution and marginal distributions, copulas are crucial. In …

Persistent link: https://www.econbiz.de/10015580525

A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses

Chokami, A. Khorrami; Rabitti, G. - In: Quantitative finance 25 (2025) 5, pp. 841-849

Persistent link: https://www.econbiz.de/10015534156