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Geographical Dependence in Disaster Risk Portfolio Management: Copula-Based Loss Modeling

POSTED CONTENT published

Authors: Yan Sun | Yan Sun

https://doi.org/10.2139/ssrn.4569733 Actions

Vine copula approximation: a generic method for coping with conditional dependence

JOURNAL ARTICLE published January 2018 in Statistics and Computing

Authors: Mimi Zhang | Tim Bedford

https://doi.org/10.1007/s11222-017-9727-9 Actions

Copula diagnostics for asymmetries and conditional dependence

JOURNAL ARTICLE published 3 July 2020 in Journal of Applied Statistics

Research funded by Natural Sciences and Engineering Research Council of Canada (Discovery grant 8698)

Authors: Bo Chang | Harry Joe

https://doi.org/10.1080/02664763.2019.1685080 Actions

Stochastic Modeling of Power Demand Due to EVs Using Copula

JOURNAL ARTICLE published November 2012 in IEEE Transactions on Power Systems

Authors: Alicja Lojowska | Dorota Kurowicka | Georgios Papaefthymiou | Lou van der Sluis

https://doi.org/10.1109/tpwrs.2012.2192139 Actions

Estimating Dependence Among Lumber Strength Properties With Copula Models

JOURNAL ARTICLE published 15 February 2021 in Frontiers in Applied Mathematics and Statistics

Authors: Yanling Cai | Harry Joe | Shenyi Pan

https://doi.org/10.3389/fams.2020.578614 Actions

Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach

BOOK CHAPTER published 2014 in Modeling Dependence in Econometrics

Authors: Jianxu Liu | Songsak Sriboonchitta | Hung T. Nguyen | Vladik Kreinovich

https://doi.org/10.1007/978-3-319-03395-2_17 Actions

Assessing dependence between soil ecosystem services as a function of weather and soil: Application of vine copula modeling

JOURNAL ARTICLE published January 2024 in Environmental Modelling & Software

Research funded by Horizon 2020 (N 862695)

Authors: Tristan Senga Kiessé | Blandine Lemercier | Michael S. Corson | Yosra Ellili-Bargaoui | Jihad Afassi | Christian Walter

https://doi.org/10.1016/j.envsoft.2023.105920 Actions

Vine-copula GARCH model with dynamic conditional dependence

JOURNAL ARTICLE published August 2014 in Computational Statistics & Data Analysis

Research funded by Hong Kong RGC General Research Fund (645111) | HKUST (SBI12BM07)

Authors: Mike K.P. So | Cherry Y.T. Yeung

https://doi.org/10.1016/j.csda.2013.08.008 Actions

Modeling Dependency Structure of Wind Speed by D-Vine Copula in Four Neighboring Areas of Inner Mongolia

JOURNAL ARTICLE published 2023 in Advances in Applied Mathematics

Authors: 文博 刘

https://doi.org/10.12677/aam.2023.125243 Actions

Application of Vine Copula in Multi-market Dependence Research

PROCEEDINGS ARTICLE published 2017 in Proceedings of the 2017 2nd International Conference on Materials Science, Machinery and Energy Engineering (MSMEE 2017)

Authors: Xiaohe She | Jingfang Wu

https://doi.org/10.2991/msmee-17.2017.275 Actions

Tail dependence functions and vine copulas

JOURNAL ARTICLE published January 2010 in Journal of Multivariate Analysis

Authors: Harry Joe | Haijun Li | Aristidis K. Nikoloulopoulos

https://doi.org/10.1016/j.jmva.2009.08.002 Actions

Dynamic Conditional Dependence for Turkey Earthquake Data: CD Vine Copula Approach

JOURNAL ARTICLE published 20 December 2021 in Bitlis Eren University Journal of Science and Technology

Authors: Ayse KARAKAŞ | Aslıhan DEMİR | Sinan ÇALİK

https://doi.org/10.17678/beuscitech.1009628 Actions

Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index

JOURNAL ARTICLE published 6 February 2024 in Computational Economics

Authors: Ozan Evkaya | İsmail Gür | Bükre Yıldırım Külekci | Gülden Poyraz

https://doi.org/10.1007/s10614-023-10544-7 Actions

Nonlinear and Non-Gaussian Process Monitoring Based on Simplified R-Vine Copula

COMPONENT published

https://doi.org/10.1021/acs.iecr.8b00701.s001 Actions

Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market

JOURNAL ARTICLE published August 2019 in International Economics

Authors: Gideon Boako | Aviral Kumar Tiwari | David Roubaud

https://doi.org/10.1016/j.inteco.2019.03.002 Actions

DEPENDENCE ANALYSIS OF ETHANOL, SUGAR, OIL, BRL/USD EXCHANGE RATE AND BOVESPA: A VINE COPULA APPROACH

JOURNAL ARTICLE published September 2015 in Economia Aplicada

Authors: Anderson Gomes Resende | Osvaldo Candido

https://doi.org/10.1590/1413-8050/ea130174 Actions

Modelling default dependence in automotive supply networks using vine-copula

JOURNAL ARTICLE published 17 January 2019 in International Journal of Production Research

Authors: Farzad Alavifard

https://doi.org/10.1080/00207543.2018.1443522 Actions

Copula-Based Dependence Characteriztions and Modeling for Time Series

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Rustam Ibragimov

https://doi.org/10.2139/ssrn.808024 Actions

Dependence Properties of Conditional Distributions of some Copula Models

JOURNAL ARTICLE published September 2018 in Methodology and Computing in Applied Probability

Research funded by Canadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada (8698)

Authors: Harry Joe

https://doi.org/10.1007/s11009-017-9544-9 Actions

A New Copula for Modeling Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jeff Holman | Gordon Ritter

https://doi.org/10.2139/ssrn.1665977 Actions
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