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Package ‘VineCopula’ February 15, 2013 Type Package Title Statistical inference of vine copulas Version 1.1-1 Date 2013-02-07 Author Ulf Schepsmeier, Jakob Stoeber, Eike…

Stationary vine copula models for multivariate time series Thomas Nagler∗ Daniel Krüger and Aleksey Min August 14 2020 Abstract Multivariate time series exhibit two types…

Model selection in sparse high-dimensional vine copula models with application to portfolio risk Thomas Nagler∗ , Christian Bumann†, Claudia Czado‡ November 20, 2018…

Learning Vine Copula Models For Synthetic Data Generation Yi Sun MIT Cambridge, MA Alfredo Cuesta-Infante Universidad Rey Juan Carlos Madrid, Spain Kalyan Veeramachaneni…

Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models Mathias Hofmanna,∗, Claudia Czadob aTechnische Universität München Zentrum Mathematik…

Stat Comput 2018 28:219–237 https:doi.org10.1007s11222-017-9727-9 Vine copula approximation: a generic method for coping with conditional dependence Mimi Zhang1 · Tim…

Learning Vine Copula Models For Synthetic Data Generation Yi Sun MIT Cambridge, MA Alfredo Cuesta-Infante Universidad Rey Juan Carlos Madrid, Spain Kalyan Veeramachaneni…

8152019 exchange rates: A vine copula based GARCH method Relationship between oil, stock prices and 114 1 3   Relationship between oil, stock prices and 4   exchange rates:…

ACCEPTED MANUSCRIPT A Vine Copula Model for Predicting the Effectiveness of Cyber Defense Early-Warning Maochao Xu Department of Mathematics Illinois State University USA…

Copula Methods in Manufacturing Test A DRAM Case Study C Glenn Shirley W Robert Daasch IC Design Test Laboratory Electrical and Computer Engineering Portland State University…

Models for construction of multivariate dependence 2nd Vine Copula Workshop, Delft, 16. December 2008 Kjersti Aas, Norwegian Computing Center Joint work with Daniel Berg…

BY RAHUL A. PARSA DRAKE UNIVERSITY & STUART A. KLUGMAN SOCIETY OF ACTUARIES Copula Regression Outline of Talk OLS Regression Generalized Linear Models (GLM) Copula Regression…

Package ‘copula’ February 14, 2012 Version 0.9-9 Date 2011-12-01 Title Multivariate dependence with copulas Author Jun Yan and Ivan Kojadinovic Maintainer Ivan Kojadinovic…

8/8/2019 Copula Report 1/33Dependence Modelling via the Copula Methodprepared by Helen ArnoldVacation student projectVacation student: Helen ArnoldSupervisor: Pavel ShevchenkoCo-supervisor:…

8/3/2019 Copula Garch 1/36On Spatial Contagion and mGARCH modelsPiotr Jaworski1 and Marcin Pitera21Institute of Mathematics, University of Warsaw2Faculty of Mathematics and…

Package ‘VineCopula’ November 9, 2015 Type Package Title Statistical Inference of Vine Copulas Version 1.6-1 Date 2015-11-09 Author Ulf Schepsmeier, Jakob Stoeber, Eike…

7/25/2019 Copula Example 1/285Example of a Constructed Copula Donald F. Behan and Sam Cox Preliminary Draft of Ma#inear Correlation 0.6Normal Copula!.!!! !.!$ !.!%! !.!!…

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…

8/13/2019 Copula Cycle 1/43 1The Copula CycleTerje Lohndal, University of MarylandAbstractIt is well-known that copulas often emerged from demonstratives and pronouns historically.The…

CDO Correlation Smile/Skew in One-Factor Copula Models: An Extension with Smoothly Truncated α-Stable Distributions Michael Schmitz, Markus H¨ochst¨otter, Svetlozar T.…