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Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

Delatte, Anne-Laure; Lopez, Claude - C.E.P.R. Discussion Papers - 2013

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Persistent link: https://www.econbiz.de/10011084009

Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula

Einmahl, John; van den Akker, R. - Tilburg University, Center for Economic Research - 2010

We consider the problem of estimating the marginals in case there is knowledge on the copula. If the copula is smooth … convergence n−1/2, but a smaller asymptotic variance. In this paper we show that smoothness assumptions on the copula are … necessary: we construct both a (non-smooth) copula and, exploiting the information our copula provides, estimators of the …

Persistent link: https://www.econbiz.de/10011091648

Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - Oesterreichische Nationalbank - 2015

density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms …

Persistent link: https://www.econbiz.de/10011206200

Copulas having Zero-Isoline and Economic Applications

Ciuiu, Daniel - In: Journal for Economic Forecasting (2012) 2, pp. 103-126

use such copula to model the dependence between two random variables that cannot be both lower than given values, but …

Persistent link: https://www.econbiz.de/10010558789

Dependence properties of bivariate distributions with proportional (reversed) hazards marginals

Dolati, A.; Amini, M.; Mirhosseini, S. - In: Metrika 77 (2014) 3, pp. 333-347

This paper considers two classes of bivariate distributions having proportional (reversed) hazard rates models as their marginals. Various dependence properties of the proposed models are studied through their copulas. Copyright Springer-Verlag Berlin Heidelberg 2014

Persistent link: https://www.econbiz.de/10010896474

On the risk comovements between the crude oil market and the U.S. dollar exchange rates

Truchis, Gilles de; Keddad, Benjamin - Institut de Préparation à l'Administration et à la … - 2014

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility …

Persistent link: https://www.econbiz.de/10010784872

Construction of asymmetric copulas and its application in two-dimensional reliability modelling

Wu, Shaomin - In: European Journal of Operational Research 238 (2014) 2, pp. 476-485

Copulas offer a useful tool in modelling the dependence among random variables. In the literature, most of the existing copulas are symmetric while data collected from the real world may exhibit asymmetric nature. This necessitates developing asymmetric copulas that can model such data. In the...

Persistent link: https://www.econbiz.de/10010785315

GEE for longitudinal ordinal data: Comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN

Nooraee, Nazanin; Molenberghs, Geert; den Heuvel, Edwin … - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 70-83

Studies in epidemiology and social sciences are often longitudinal and outcome measures are frequently obtained by questionnaires in ordinal scales. To understand the relationship between explanatory variables and outcome measures, generalized estimating equations can be applied to provide a...

Persistent link: https://www.econbiz.de/10010785338

Attrition Bias in Panel Data: A Sheep in Wolf’s Clothing? A Case Study Based on the MABEL Survey

Cheng, Terence C.; Trivedi, Pravin K. - Melbourne Institute of Applied Economic and Social … - 2014

based on the classic sample selection model; and a recently developed copula-based selection model. Descriptive evidence …

Persistent link: https://www.econbiz.de/10010786585