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Dependence of stock returns in bull and bear markets
Dobrić, Jadran; Frahm, Gabriel; Schmid, Friedrich - 2007
Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...
Persistent link: https://www.econbiz.de/10010304417
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Weighted power mean copulas: Theory and application
Klein, Ingo; Fischer, Matthias J.; Pleier, Thomas - 2011
It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different … that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and …
Persistent link: https://www.econbiz.de/10010306946
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A Copula Based Method for the Classification of Fish Species
Dhawal, Raj Singh; Chen, Liang - In: International Journal of Cognitive Informatics and … 11 (2017) 1, pp. 29-45
The proposed work develops a method for classification of the species of a fish given in an image, which is a sub-ordinate level classification problem. Fish image categorization is unique and challenging as the images of same fish species can show significant differences in the fish's...
Persistent link: https://www.econbiz.de/10012043679
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The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests
Strazzera, Elisabetta; Genius, Margarita - 2004
approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in …
Persistent link: https://www.econbiz.de/10011324951
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Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Meik - 2015
), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …
Persistent link: https://www.econbiz.de/10011419995
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010322502
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10010325732
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Forecasting Volatility with Copula-Based Time Series Models
Sokolinskiy, Oleg; van Dijk, Dick - 2011
copulas do not improve the accuracy of volatility forecasts. …
Persistent link: https://www.econbiz.de/10010326314
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Multidimensional Poverty Analysis: Looking for a Middle Ground
Ferreira, Francisco H.G.; Lugo, Maria Ana - 2012
Widespread agreement that poverty is a multifaceted phenomenon, encompassing deprivations along multiple dimensions, clashes with often vociferous disagreement about how best to measure these deprivations. Drawing on the recent literature, this short note proposes three methodological...
Persistent link: https://www.econbiz.de/10010331407
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …
Persistent link: https://www.econbiz.de/10010335245