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Health Insurance and Joint Off‐Farm Labor Allocation Decisions of Farm Families

D'Antoni, Jeremy M.; Mishra, Ashok K. - Southern Agricultural Economics Association - SAEA - 2012

Contact author to request a copy of this paper.

Persistent link: https://www.econbiz.de/10009421056

What makes dependence modeling challenging? Pitfalls and ways to circumvent them

Jan-Frederik, Mai; Matthias, Scherer - In: Statistics & Risk Modeling 30 (2013) 4, pp. 287-306

We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a … fallacies, and we particularly address readers who are new to dependence modeling. The presented list of challenges is clearly … not complete, but it gives a flavor of how difficult and subtle the task of dependence modeling can be. Moreover, the …

Persistent link: https://www.econbiz.de/10011015734

Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction

Doman, Ryszard - In: Dynamic Econometric Models 10 (2010), pp. 31-42

capable of adequate describing the dependence between the components when their statistical properties are very diverse. The …

Persistent link: https://www.econbiz.de/10009001708

Dependence structures in financial time series: a chaos-theoretic approach

Wolff, Rodney C - School of Economics and Finance, Business School - 2006

incorporating more general dependence structures, through the use of the correlation integral (as in the BDS test), as a means to …

Persistent link: https://www.econbiz.de/10008694511

Dependent discrete risk processes –calculation of the probability of ruin

Heilpern, Stanislaw - In: Operations Research and Decisions 2 (2010), pp. 59-76

probability of ruin is computed. The relation between the degree of dependence and the probability of ruin is studied. Three cases … and the degree of dependence is only observed in the Markov chain case. …

Persistent link: https://www.econbiz.de/10008764614

Copulas and bivariate Risk measures : an application to hedge funds

Bedoui, Rihab; Ben Dbabis, Makram - Université Paris-Dauphine (Paris IX) - 2009

.Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way,taking better account of the … stylized facts in ﬁnance.This paper is a practical implementation of the copulas theory to model dependence between differen … bivariate VaR level curves and to study extremal dependence between hedgefunds strategies and share index returns through the …

Persistent link: https://www.econbiz.de/10011074324

Estimación del riesgo mediante el ajuste de cópulas

Bolancé, Catalina; Guillén, Montserrat; Padilla, Alemar - Institut de Recerca en Economia Aplicada (IREA), … - 2015

Here is an example on how to calculate the risk of a portfolio using bivariate parametric copulas and Monte Carlo simulation. First, the parameter of the copula are estimated, then marginal distributions are fitted and value at risk (VaR) and tail value at risk (TVaR) are calculated.

Persistent link: https://www.econbiz.de/10011170419

Multivariate return decomposition: Theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolay - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011460618

Health Insurance and Joint Off?Farm Labor Allocation Decisions of Farm Families

D'Antoni, Jeremy M.; Mishra, Ashok K. - 2012

previous literature by using copulas to test for dependence in the labor allocation decisions of the operator and spouse …

Persistent link: https://www.econbiz.de/10009483611

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013201407