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Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning

Syuhada, Kreshna; Tjahjono, Venansius; Hakim, Arief - In: Risks : open access journal 11 (2023) 2, pp. 1-25

cryptocurrency investment strategies, portfolio allocation, and decision-making, particularly during extremely negative shocks. …

Persistent link: https://www.econbiz.de/10014234332

The stability of Islamic cryptocurrencies and copula-based dependence with alternative crypto and fiat currencies

Nugroho, Bayu Adi - In: ISRA international journal of islamic finance : an … 15 (2023) 2, pp. 80-97

Persistent link: https://www.econbiz.de/10015188980

Modelling volatile time series with v-transforms and copulas

McNeil, Alexander J. - In: Risks : open access journal 9 (2021) 1/14, pp. 1-26

copulas and permit the formulation and estimation of models that combine arbitrary marginal distributions with copula … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …

Persistent link: https://www.econbiz.de/10012422995

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

Persistent link: https://www.econbiz.de/10012805838

The copula derived from the SAHARA utility function

Spreeuw, Jaap - In: Risks : open access journal 10 (2022) 7, pp. 1-10

A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the …

Persistent link: https://www.econbiz.de/10013364968

A particle swarm optimization copula-based approach with application to cryptocurrency portfolio optimisation

Mba, Jules Clément; Mai, Magdaline Mbong - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-14

adequate understanding of this emerging market as well as adequate tools to model the market risk and efficient allocation of … stablecoins (USDT and USDC). We examine the copula particle swarm optimization (CPSO) portfolio strategy against three other …

Persistent link: https://www.econbiz.de/10013369573

Basis risk and the demand for catastrophic rainfall insurance

Negi, Digvijay S.; Ramaswami, Bharat - In: Q open : a journal of agricultural, climate, … 4 (2024) 1, pp. 1-24

Rainfall is an important source of covariate shock in developing countries. Insurance against a rainfall index has, therefore, held much promise as a formal insurance product to protect the livelihoods of poor farmers. But how good is rainfall as a measure of covariate shocks? The imperfect...

Persistent link: https://www.econbiz.de/10015053889

Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium

Sari, Suci Fratma; Hakim, Arief; Magdalena, Ikha; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-20

distribution and the Farlie–Gumbel–Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …

Persistent link: https://www.econbiz.de/10014305958

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025

results show that a mixture of copulas can provide a better fit to the data than an individual copula and consequently avoid …

Persistent link: https://www.econbiz.de/10015358934

Statistical risk quantification of two-directional internet traffic flows

Kokoszka, Piotr; Lin, Mengting; Wang, Haonan; Hayne, Stephen - In: Statistics in transition : an international journal of … 25 (2024) 1, pp. 1-22

. The methodology is developed within the framework of functional data analysis and copula modeling. It is summarized in the …

Persistent link: https://www.econbiz.de/10015125398