Filtry
Improving the accuracy of predictions in multivariate time series using dynamic vine copulas
a method which uses copulas to produce more accurate forecasting. The idea is to apply a copula-based approach to identify change points and then split the time series-fitting copula family and forecast values of the time ...
Statistics and probability
- 2024 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Copula shrinkage and portfolio allocation in ultra-high dimensions
applied to t copula-based dynamic models deliver better portfolios in termsCopulas prove to be a convenient tool in modeling joint distributions of copula-based distributions becomes a challenge. Currently, co...
Applied Economics, Econometrics
- 2022 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Copula-based convolution for fast point-mass prediction
This paper deals with the state estimation of the nonlinear stochastic dynamic prediction step by the orders of magnitude for models with a diagonal form of the dynamic equation. The copula-based convolution decomposes the ...
Automation and control systems
- 2022 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Research on the Risk Spillover Effect by Applying EVT-Copula-CoVAR Model
The goal of this paper is to apply the extreme value theory, copula function and conditional value-at-risk meth-od. Specifically, the EVT-copula-CoVaR model is constructed and combined with the Copula function to analyse th...
Applied Economics, Econometrics
- 2020 •
- Jost •
- Odkaz
Rok uplatnění
Jost - Ostatní články v recenzovaných periodicích
Výsledek na webu
Transformations of copulas
Transformations of copulas by means of increasing bijections on the unit interval and attractors of copulas are discussed. The invariance of copulas under such transformations as well as the reletionship to maximum attracto...
BA - Obecná matematika
- 2005 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling
Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top, the use of copulas highlight how these effects c...
Finance
- 2024 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Uniform approximation of associative copulas by strict and non-strict copulas.
Topological properties of subclasses of copulas are studied. For example, the class of associative copulas is shown to be compact.
BA - Obecná matematika
- 2001 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Univariate conditioning of copulas
Univariate conditioning of copulas is studied, thus yielding a construction method for copulas based on an a priori given copula....
BA - Obecná matematika
- 2008 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Quadratic constructions of copulas
In the paper we introduce and study quadratic constructions of copulas based on com- position of a copula and some quadratic polynomial. We characterize all quadratic polynomials whose composition with an arbitrary copula a...
BA - Obecná matematika
- 2015 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas
and studied. As a by product, a new method of constructing (quasi-)copulas from a given (quasi-)copula C is obtained. Newly constructed copulas are negative quadrant dependent forany original copula C. The only in...
BA - Obecná matematika
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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