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8/6/2019 Benett.kennedy-Quanto With Copula 1/44Quanto pricing with CopulasMichael N. Bennett, Joanne E. KennedyUniversity of WarwickMay 29, 2003AbstractWe study the practical…
8/12/2019 Trading Strategies With Copula 1/25 Journal of Economic and Financial Sciences | JEF | April 2013 6(1), pp. 83-108 83 T RADING STRATEGIES WITH COPULAS Yolanda Stander*University…
Modeling Dependence in CDS and Equity Markets: Dynamic Copula with Markov-Switching∗ Fei Fei, Ana-Maria Fuertes†, Elena Kalotychou Faculty of Finance, Cass Business School,…
Introduction The Quantile-Copula estimator Comparison with competitors A quantile-copula approach to conditional density estimation. Olivier P. Faugeras Université Paris…
Conditional independence copula models with graphical representations Harry Joe University of British Columbia For multivariate Gaussian with a large number of variables…
Estimation of Copula Models with Discrete Margins via Bayesian Data Augmentation Michael S Smith Melbourne Business School University of Melbourne Joint with Mohamad Khaled…
Paper 340-2011 Modeling Financial Risk Factor Correlation with the COPULA Procedure Jan Chvosta, Donald J. Erdman, Mark Little SAS Institute Inc., Cary, NC ABSTRACT Two keys…
In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomesJournal of Multivariate Analysis journal homepage: www.elsevier.com/locate/jmva
Copula-based Multivariate GARCH Model with Uncorrelated Dependent Errors∗ Tae-Hwy Lee† University of California, Riverside Xiangdong Long‡ University of Cambridge August…
Financial Modelling with Copula Functions Poomjai Nacaskul PhD Bank of Thailand and Mahanakorn University of Technology 17 December 2010 LEARNING OBJECTIVES 1st – to…
Mixed binary-continuous copula regression models with application to adverse birth outcomes Klein N Kneib T Marra G Radice R Rokicki S McGovern M E 2019 Mixed binary-continuous…
Calibration estimation of semiparametric copula models with data missing at random Shigeyuki Hamori∗ Kaiji Motegi† Zheng Zhang‡ December 7, 2018 Abstract This paper…
1. Modeling Dependency with Copula: Implicationsto Engineers and PlannersHaizhong Wang, Ph.D, Assistant ProfessorSchool of Civil and Construction EngineeringOregon State…
Scenario-based path travel time aggregation with Gaussian copula estimated through Lasso Ke Wan 1 and Alain Kornhauser2 1 Department of Operations Research and Financial
A Comparison of Traditional and Copula based VaR with Agricultural portfolio Maitreyi Mandal 1 and Carl Johan Lagerkvist 2 Abstract Mean-Variance theory of portfolio construction…
Vrije Universiteit Brussel Multiterminal Source Coding with Copula Regression for Wireless Sensor Networks Gathering Diverse Data Zimos Evangelos Toumpakaris Dimitris Munteanu…
Copula information criterion for model selection with two-stage maximum likelihood estimation Vinnie Ko∗ Nils Lid Hjort Department of Mathematics University of Oslo PB…
Copula based generalized additive models with non-random sample selection Ma lgorzata Wojtyś Centre for Mathematical Sciences Plymouth University Drake Circus Plymouth…
Journal of Machine Learning Research 17 (2016) 1-30 Submitted 5/15; Revised 10/15; Published 4/16 Multi-task Sparse Structure Learning with Gaussian Copula Models André…
Conditional Systemic Risk with Penalized Copula 31st July 2015 Ostap Okhrin⇤ Alexander Ristig† Je↵rey Sheen‡ Stefan Trück§ Abstract Financial contagion and systemic…