搜索结果: 1-5 共查到“理论经济学 Copulas”相关记录5条 . 查询时间(0.093 秒)
Vine Constructions of Levy Copulas
Lévy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/14
Lévy copulas are the most natural concept to capture jump dependence in multivariatem Lévy processes. They translate the intuition and many features of the copula concept into a time series setting. A...
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...
We examine three methods of constructing correlated Student-$t$ random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and...
We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family,the simultaneous control of tail dependencies of all pr...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...