A comprehensive review on the development of copulas in financial field

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F23%3AICQMRDWI" target="_blank" >RIV/00216208:11320/23:ICQMRDWI - isvavai.cz</a>

Výsledek na webu

<a href="https://content.iospress.com/articles/journal-of-intelligent-and-fuzzy-systems/ifs223481" target="_blank" >https://content.iospress.com/articles/journal-of-intelligent-and-fuzzy-systems/ifs223481</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3233/JIFS-223481" target="_blank" >10.3233/JIFS-223481</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A comprehensive review on the development of copulas in financial field

Popis výsledku v původním jazyce

"e Copula concept has long been used in many applications, especially in the financial field. This concept was first used in 1959 by Sklar in his mathematical work and greatly assisted in the applications of financial and insurance areas. The copula functions have been widely used in dependence modeling. In this study, we look at how the copula began to develop from a basic form to a more advanced form through studies that previous researchers have made. Throughout this study, we find various types of the copula, and each exhibits its own characteristics lying under two main families, Elliptical and Archimedean copulas. Our findings suggest that copula is vital in solving problems in statistical dependence measures and joint marginal distribution functions. This comprehensive study served as a review paper on the development of copulas from their initial existence to their latest evolution."

Název v anglickém jazyce

A comprehensive review on the development of copulas in financial field

Popis výsledku anglicky

"e Copula concept has long been used in many applications, especially in the financial field. This concept was first used in 1959 by Sklar in his mathematical work and greatly assisted in the applications of financial and insurance areas. The copula functions have been widely used in dependence modeling. In this study, we look at how the copula began to develop from a basic form to a more advanced form through studies that previous researchers have made. Throughout this study, we find various types of the copula, and each exhibits its own characteristics lying under two main families, Elliptical and Archimedean copulas. Our findings suggest that copula is vital in solving problems in statistical dependence measures and joint marginal distribution functions. This comprehensive study served as a review paper on the development of copulas from their initial existence to their latest evolution."

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

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Návaznosti

—

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

"Journal of Intelligent & Fuzzy Systems"

ISSN

1064-1246

e-ISSN

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Svazek periodika

45

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

6047-6062

Kód UT WoS článku

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EID výsledku v databázi Scopus

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