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Quality Risk and Profitability in Cattle Production: A Multivariate Approach

Belasco, Eric J.; Schroeder, Ted C.; Goodwin, Barry K. - In: Journal of Agricultural and Resource Economics 35 (2010) 3

This study evaluates quality, production, and price risk within the context of overall profit variability in fed cattle production. The approach used offers a flexible way to estimate a large system of equations with more than three jointly related censored outcomes. Trade-offs between quality...

Persistent link: https://www.econbiz.de/10008802887

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010

a representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on …

Persistent link: https://www.econbiz.de/10008838568

Influence of External Factors on the Taiwan Stock Exchange

Huang, Chin-Wen - In: The International Journal of Business and Finance Research 8 (2014) 4, pp. 109-120

€™s equity market affect the local stock market and whether such impacts are persistent through time. Adopting the GARCH-EVT-Copula …

Persistent link: https://www.econbiz.de/10011143922

Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach

Azam, Kazim - Department of Economics, University of Warwick - 2014

such time series, a exible semi-parametric copula methodology is adopted where the marginals are non-parametric but the … copula is parametrically specified. Dependence is estimated both as a constant and time-varying measure. During the Pre …

Persistent link: https://www.econbiz.de/10011144191

Price asymmetry between different pork cuts in the USA: a copula approach

Panagiotou, Dimitrios; Stavrakoudis, Athanassios - In: Agricultural and Food Economics 3 (2015) 1, pp. 1-8

The objective of this study is to assess the degree and the structure of price dependence between different cuts in the US pork industry at the retail level. To this end, it utilizes monthly retail data of pork cuts and the statistical tool of copulas. The empirical results suggest that for all...

Persistent link: https://www.econbiz.de/10011150979

Clustering of financial time series in risky scenarios

Durante, Fabrizio; Pappadà, Roberta; Torelli, Nicola - In: Advances in Data Analysis and Classification 8 (2014) 4, pp. 359-376

A methodology is presented for clustering financial time series according to the association in the tail of their distribution. The procedure is based on the calculation of suitable pairwise conditional Spearman’s correlation coefficients extracted from the series. The performance of the...

Persistent link: https://www.econbiz.de/10011151405

Downstream-Directed Performance Assessment of Reservoirs in Multi-Tributary Catchments by Application of Multivariate Statistics

Schulte, Markus; Schumann, Andreas - In: Water Resources Management 29 (2015) 2, pp. 419-430

<Para ID="Par1">In the past the flood design was dominated by safety oriented concepts. A design flood was chosen with the basic assumption that it defines the limit up to which a flood can be controlled completely by technical measures. Often peak values with very small probabilities are used. Thus the risk of...</para>

Persistent link: https://www.econbiz.de/10011151736

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng-Few; Wu, Dengsheng - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 161-189

, variance–covariance and copula approach. Firstly, the three popular approaches are adopted to aggregate credit risk, market … conservative and variance–covariance approach is overly optimistic, so it is suggested that copula approach is the future major … trend for bank risk aggregation. Especially, t copula with degree of freedom between 1 and 10 is a good choice to capture …

Persistent link: https://www.econbiz.de/10011155215

A Non-linear Forecast Combination Procedure for Binary Outcomes

Lahiri, Kajal; Yang, Liu - CESifo - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10011155375

A Flexible Sample Selection Model: A GTL-Copula Approach

Hasebe, Takuya; Vijverberg, Wim P. - Institute for the Study of Labor (IZA) - 2012

bivariate distribution. The versatility arising from inserting GTL marginal distributions into copula-constructed bivariate … expenditures to speeding tickets and international disputes illustrate the value of the proposed GTL-copula estimator. …

Persistent link: https://www.econbiz.de/10011168620