Distributed sensor networks with hundreds of antenna arrays are widely utilized for radar detection systems. When observations of network nodes are correlated, an optimal copula-based fusion (termed CBF) rule is designed for correlated binary decisions under the Neyman-Pearson (NP) framework....

This paper proposes a novel event-based simulation model for assessing the explicit demand response potential of electric vehicle (EV) charging networks. The model utilizes multivariate copulas in generation of realistic artificial charging events that retain the complex dependency structures...

This paper studies how to construct and compare various optimal portfolio frame-works for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the...

A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated. It is left tail decreasing or right tail increasing, but unlike...

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula families are studied. At every branching node, the...

Blockchain and cryptocurrency are gradually going mainstream with new cryptocurrencies introduced every single day. The speculative nature of these digital assets expose their prices to large fluctuations. Trading these crypto-assets necessitate an adequate understanding of this emerging market...

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

In this paper, we use the copula model so as to compute the Optimal Hedge Ratio. Hedging with OTC markets is probably the most common way of managing risk, and much research has been done within this field. Our investigation contributes to the current literature insofar as we aim to hedge Credit...