Search Results - subject_exact:"Multivariate Verteilung"

Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR

Folprecht, Marek - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609159

Systemic risk transmission in commodity markets

Georgescu, Irina - 2026

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614141

Copula joint estimation for spatial dynamic panel data models with endogeneity issues

Lin, Yanli; Song, Yichun - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554930

Gradient extremals, talwegs, valleys, and directional alignment for generic gradient descent

Bégout, Pascal; Bolte, Jérôme; Mariotti, Thomas; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637952

Risk transmission and returns dependence between oil and socially responsible funds?

Ur Rehman, Mobeen; Nautiyal, Neeraj; Zeitun, Rami; Vo … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638206

On return probabilities of adverse events under dependence and lessons to learn for decision-making

Hofert, Marius - 2026

Considering achieving a goal in each of several time intervals when, in every time interval, an adverse event may lead to a failure raises the question of the return probability of adverse events, so the probability of at least one failure to happen during the time period of interest. Through...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639025

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640224

Consumer sentiment and spending in extreme events

Ardakani, Omid M.; Levine, Lindsay R. - 2026

We examine tail dependence between consumer sentiment and spending during crises, focusing on COVID-19 and the Global Financial Crisis. Using copula models on U.S. monthly data from 2003-2024, we quantify extreme co-movements and find asymmetric tail dependence that intensifies during crises:...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633714

Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates

Ning, Cathy Q.; Xu, Dinghai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617320

Climate risk, policy, and insurance : a forecast-based model for weather index design in vulnerable economies

Abrego-Perez, Adriana L.; Nuñez-Mora, José A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654319

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach

Ito, Kakeru; Yoshiba, Toshinao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324226

Portfolio tail risk forecasting for international financial assets : a GARCH-MIDAS-R-Vine copula model

Yao, Yinhong; Chen, Xiuwen; Chen, Zhensong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374390

Dealing with regression models' endogeneity by means of an adjusted estimator for the Gaussian copula approach

Liengaard, Benjamin Dybro; Becker, Jan-Michael; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193008

Copula tensor count autoregressions for modeling multidimensional integer-valued time series

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717

Copula-based risk aggregation and the significance of reinsurance

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

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358934

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 - 2025

This study develops an integrated risk modeling framework to assess capital adequacy and optimize portfolio performance for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value theory, and dynamic R-vine copulas, the framework...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467328

Cryptocurrency market dynamics : copula analysis of return and volume tails

De Luca, Giovanni; Montanino, Andrea - 2025

This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467387

Risk modeling of property insurance claims from weather events

Gao, Yixing; Shi, Peng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450031

Exploring dynamic extreme dependence of oil and agricultural markets

Kisswani, Khalid M.; Lahiani, Amine; Fikru, Mahelet G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015454547

The risk of clustering of deprivations in Spain : a tale of two crises

García-Gómez, César; Pérez, Ana - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411670

Institutional mechanisms, ownership and bank risk-taking during crises

Vo, Thi Thuy Anh; Joseph, Nathan Lael - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436291

A novel stochastic copula model for the Texas energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - 2025

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, ebvufind01.dmz1.zbw.eu/10015436710

Spillovers between Euronext stock indices : the COVID-19 effect

Carneiro, Luana; Gomes, Luís; Lopes, Cristina; … - 2025

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, ebvufind01.dmz1.zbw.eu/10015436919

Copula modeling of COVID-19 excess mortality

Asplund, Jonas; Shemyakin, Arkady - 2025

COVID-19's effects on mortality are hard to quantify. Issues with attribution can cause problems with resulting conclusions. Analyzing excess mortality addresses this concern and allows for the analysis of broader effects of the pandemic. We propose separate ARIMA models to analyze excess...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437055

A nonparametric conditional copula-based imputation method

Di Lascio, F. Marta L.; Gatto, Aurora - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437084

Mechanistic modeling of social conditions in disease-prediction simulations via copulas and probabilistic graphical models : HIV case study

Khosheghbal, Amir; Haas, Peter J.; Gopalappa, Chaitra - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437651

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, ebvufind01.dmz1.zbw.eu/10015461275

Spillover dynamics between green and non-green cryptocurrencies : unrevealing the role of geopolitical risk

Mejri, Sami; Jareño, Francisco; Khan, Nasir; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461827

Robust learning of tail dependence

Ardakani, Omid M. - 2025

Accurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme value theory. I establish strong consistency...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562118

Copula-based dynamic networks for forecasting stock market volatility

Nankali, Shahab; Tafakori, Laleh; Jalili, Mahdi; Hu, Xiaolu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562783

Asymmetric volatility spillover effects from energy, agriculture, green bond, and financial market uncertainty on carbon market during major market crisis

Paravee Maneejuk; Huang, Wucaihong; Woraphon Yamaka - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592475

Addressing endogeneity using a two-stage copula generated regressor approach

Yang, Fan; Qian, Yi; Xie, Hui - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596788

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Addressing Endogeneity Using a Two-stage Copula Generated Regressor Approach

Yang, Fan; Qian, Yi; Xie, Hui - 2022

Book / Working Paper

The tail dependence and lead-lag relationship in financial markets

Mar'I, Muhammad; Seraj, Mehdi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589599

Cross-market risk spillovers and tail dependence between U.S. and Chinese technology-related equity markets

Zhou, Xinmiao; Liu, Huihong - 2025

This study investigates risk contagion and dependence structures between U.S. and Chinese technology-related stock markets, focusing on the electronics and semiconductor sectors. We employ DCC-GARCH models to capture time-varying correlations and copula models to analyze nonlinear and tail...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591086

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

Agiakloglou, Nikolaos; Georgopoulos, Nikolaos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591613

Frailty model and dependence structure for bivariate survival data

Idiou, Nesrine; Benatia, Fatah; Mesbah, Mounir - 2025

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 this article, we discuss recent research on this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015580525

Estimating dynamic intergenerational mobility via a mixed copula method

Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619809

Addressing endogeneity issues in a spatial autoregressive model using copulas

Lin, Yanli; Song, Yichun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656364

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

Frazelle, Andrew E.; Rasulov, Toghrul; Wang, Shouqiang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015482562

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

Skevas, Ioannis - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399249

Large skew-t copula models and asymmetric dependence in intraday equity returns

Deng, Lin; Smith, Michael S.; Maneesoonthorn, Worapree - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534006

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

Chokami, A. Khorrami; Rabitti, G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534156

Copula-based trading of cointegrated cryptocurrency Pairs

Tadi, Masood; Witzany, Jiří - 2025

This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index, the study employs linear and nonlinear...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559473

Show one more version 1

Copula-based trading of cointegrated cryptocurrency pairs

Tadi, Masood; Witzany, Jiří - 2023

Book / Working Paper

Basis risk and the demand for catastrophic rainfall insurance

Negi, Digvijay S.; Ramaswami, Bharat - 2024

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, ebvufind01.dmz1.zbw.eu/10015053889

High inflation during Russia-Ukraine war and financial market interaction : evidence from C-Vine Copula and SETAR models

Hamza, Taher; Ben Haj Hamida, Hayet; Mili, Mehdi; Sami, Mina - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015056940

Measurement, identification, and spillover effects of systemic risk in the international clean energy market

Zhao, Mingtao; Lu, Suwan; Cui, Lianbiao - 2024

The International Clean Energy Market (ICEM) has emerged as one of the fastest-growing sectors in the energy industry. The increasing financialization and integration of the ICEM has meant that internal systemic risks have begun to surface, which can potentially seriously threaten the stable...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014583304

Financial and oil market's co-movements by a regime-switching copula

Soury, Manel - 2024

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636410

Cyber risk in insurance : a quantum modeling

Lefevre, Claude; Tamturk, Muhsin; Utev, Sergey; … - 2024

In this research, we consider cyber risk in insurance using a quantum approach, with a focus on the differences between reported cyber claims and the number of cyber attacks that caused them. Unlike the traditional probabilistic approach, quantum modeling makes it possible to deal with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636546

Dependence modelling for heavy-tailed multi-peril insurance losses

Yan, Tianxing; Yi, Lu; Jeong, Himchan - 2024

The Danish fire loss dataset records commercial fire losses under three insurance coverages: building, contents, and profits. Existing research has primarily focused on the heavy-tail behaviour of the losses but ignored the relationship among different insurance coverages. In this paper, we aim...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636713

Some results on bivariate squared maximum sharpe ratio

Mousavi, Samane Al-sadat; Dolati, Ali; Dastbaravarde, Ali - 2024

The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, selecting a set of investment opportunities is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636835