Dependence structure
Dependence Structure and Hedging of U.S. Spot and Futures Markets in Financial Crisis
... the dependence structure between CSI300 index and futures by Copula-ARMA-GARCH models and find out which copula can provide a better fit to the empirical ...of dependence between CSI300 index and ...
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An Exploration of the Spatial Dependence Structure of Crop Yields and the Implications for Crop Insurance
... Despite the literature’s recent focus on the systemic risk faced by crop insurers, little research has examined the actual spatial dependence structure of crop yields. In theory, there is a multivariate ...
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Claim Sizes Based Perturbed Risk Model with the Dependence Structure
... This article is based on the above papers. We study the perturbed risk model as (1.3) and model the dependence structure for two sides. For one side, the in- terclaim times is dependent with claim sizes by ...
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Co Movement, Dependence Structure and Ethical Investment Funds under GFC
... dependency structure between the returns. Tail dependence may also differ from dependence close to the mean [20] [21] ...the dependence between two asset returns as the market rises may be ...
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Measuring the dependence structure between yield and weather variables
... spatial dependence in the joint distribution of weather indices across different regions in ...spatial dependence considering all three weather indices in their ...the dependence structure ...
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Instability and dependence structure between oil prices and GCC stock markets
... the dependence structure between oil price changes and stock market returns in several ...tail dependence for the case of Vietnam while there is no evidence of any tail dependence for the case ...
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Identifying Dependence Structure among Equities in Indian Markets using Copulas
... elliptical dependence structure; asymmetric tail dependence can be observed among asset returns particularly when the assets exhibit downside returns in a bearish ...such dependence ...
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Extreme Risk Value and Dependence Structure of the China Securities Index 300
... A time-varying copulas–conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures ...
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Dependence Structure of Insurance Credit Default Swaps
... the dependence structure of insurance credit default swap (CDS) indices in the pairs of markets of the United Kingdom (UK), Eurozone (EU) and United States (US) insurance industries during the period of ...
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Auto dependence structure of arch models: tail dependence coefficients
... particular dependence measures instead of others like Kendall’s τ or Spearman’s ρ are, firstly, that since these are asymptotic quantities, they are more amenable to a complete theoretical analysis: in terms of ...
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Ruin Probabilities in Risk Based on a Generalized FGM Dependence Structure
... Keywords Insurance and Financial Risks, Ruin Probabilities, Generalized FGM Distribution, Strongly Regular Variation Class Subject Areas: Financial Mathematics, Mathematical Economics, P[r] ...
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Risk aggregation, dependence structure and diversification benefit
... the dependence between risk factors influences the ability of the models to ...extreme dependence between risk factors to demonstrate the significance of misspecification, however, it is important to also ...
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A sequential reduction method for inference in generalized linear mixed models
... the dependence structure of the posterior distribution of the random effects to reduce substantially the cost of finding an accurate approximation to the likelihood in models with sparse ...
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Measures of dependence for Ornstein Uhlenbeck processes with tempered stable distribution
... the dependence structure for Ornstein-Uhlenbeck processes with totally skewed tempered stable ...the structure of dependence of Ornstein- Uhlenbeck with tempered stable and α −stable ...
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Application of Copula GARCH to Estimate VaR of a Portfolio with Credit Default Swaps
... the dependence structure between as- set returns could be asymmetrical; in particular, the lower tail dependence is higher than the upper tail in the case of the portfolio containing ...tail ...
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Dependence of Real Estate and Equity Markets in China with the Application of Copula
... Copulas are functions that connect multivariate distribution functions to their marginal distributions of any dimension. They have all the relevant information about the dependence structure among the ...
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Modelling spatial extreme events with environmental applications
... the dependence structure of measurements of river flow is highly complex; this is because river flow gauges considered spatially distant through standard metrics such as Eu- clidean distance can in fact be ...
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Effect of Electrolyte pH and Deposition Time on the Microstructure and Magnetic Properties of Electrodeposited Fe2CoSn Heusler Alloy
... Recently, the electrochemical deposition method for the synthesis of compositionally modulated alloys has attracted great interest because electrodeposition is a simple and economic method without high temperature and ...
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Microstructure of a Partially Crystallised Ti50Ni25Cu25 Melt Spun Ribbon
... similar microstructures, still with few crystalline spherical particles embedded in the amorphous matrix. The sizes of the crystalline particles in samples after 30 minutes at 693 K are larger than in the case of 10 ...
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The Path Dependence of Industry Structure Adjustment in Chongqing: Central Government Political Decision
... industrial structure gradually emerged. The industrial structure entropy value fluctuated, which exposed the vulnerability of industrial structure in this ...industrial structure at that ...
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