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10 (0,117s) •

Project

Using copulas for modelling dependency structure of variables in the presence of covariates (GJ15-04774Y)

The project concerns studying the relationship between the variables in the presence of explanatory variables (i.e. covariates). Using a copula approach, one can, nonparametric estimators of copulas (as well as important association...

BA - Obecná matematika

  • 2015 - 2017
    • •
  • 2 483 tis. Kč
    • •
  • 2 483 tis. Kč
    • •
  • GA ČR
Project

Financial time series modelling and risk estimation (GP13-18300P)

for dependency modelling are copula functions. Although its proposition for joint. After the last financial crisis the copula functions gained again a lot of attention. This research is focused on the copula functions and ...

AH - Ekonomie

  • 2013 - 2015
    • •
  • 676 tis. Kč
    • •
  • 676 tis. Kč
    • •
  • GA ČR
Project

Dynamic and granular loss reserving with copulae - DaGLoRCo (GJ18-01781Y)

, a time-varying copula framework for granular reserving will be established....

Statistics and probability

  • 2018 - 2021
    • •
  • 4 409 tis. Kč
    • •
  • 4 409 tis. Kč
    • •
  • GA ČR
Project

Innovative software solution for universal media data integration (FW10010576)

The main goal will be achieved through research and development in the following areas: 1. The concept of data integration using an empirical cupola, including a prototype and determination of the optimal method of cupola estimation 2. Initiation of ...

Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

  • 2024 - 2025
    • •
  • 12 537 tis. Kč
    • •
  • 5 558 tis. Kč
    • •
  • TA ČR
Project

Multifractal analysis in finance Extreme events, portfolio and risk management, and market complexity (GJ17-12386Y)

on the multifractal correlation coefficient. We further study its relationship to copulas...

AH - Ekonomie

  • 2017 - 2021
    • •
  • 3 895 tis. Kč
    • •
  • 3 895 tis. Kč
    • •
  • GA ČR
Project

Verification of suitability of particular Lévy models for selected issues of financial modeling (GA13-13142S)

Current issues of financial modeling are focused on a large selection of problems, such as no-arbitrage price detection, efficient estimation of risk measures or selection of efficient and optimal portfolio. Although in the past the Gaussian distribu...

AH - Ekonomie

  • 2013 - 2017
    • •
  • 4 461 tis. Kč
    • •
  • 4 461 tis. Kč
    • •
  • GA ČR
Project

Properties of number sequences and their applications (GA17-02804S)

The project aim is to find new and develop existing methods number theory used to study properties of numerical representations of number sequences and in study of their approximation, distribution and metric properties. A common aspect of the used a...

BA - Obecná matematika

  • 2017 - 2019
    • •
  • 2 934 tis. Kč
    • •
  • 2 934 tis. Kč
    • •
  • GA ČR
Project

Development of numerical methods for analyses of stochastic computational mechanics problems (KJB201720902)

The proposal represents a collection of nine interrelated research topics and problems to be solved or at least advanced within the framework of the grant. All of the problems are very clearly defined as they are resulted from the proposer's work in ...

JN - Stavebnictví

  • 2009 - 2011
    • •
  • 1 194 tis. Kč
    • •
  • 1 194 tis. Kč
    • •
  • AV ČR
Project

The Implications of The Global Crisis on Economic Capital Management of Financial Institutions (GPP403/10/P278)

capital and risk modelling, standard methodologies such as value-at-risk, copula...

AH - Ekonomie

  • 2010 - 2012
    • •
  • 968 tis. Kč
    • •
  • 968 tis. Kč
    • •
  • GA ČR
Project

Development of theory and advanced algorithms for UNCertainty analyses in Engineering PROblems (UNCEPRO) (LTAUSA19058)

Computational models in engineering have evolved dramatically in the last decades and this development has been stimulated by the development of computing technologies. The ability to predict behavior of engineering systems using complex computer mod...

Civil engineering

  • 2020 - 2022
    • •
  • 3 600 tis. Kč
    • •
  • 3 600 tis. Kč
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