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A new family of accelerated failure time models for survival data subject to different types of dependent censoring
Deresa, Negera Wakgari; Van Keilegom, Ingrid - 2019
Persistent link: https://www.econbiz.de/10012050905
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Flexible parametric model for survival data subject to dependent censoring
Deresa, Negera Wakgari; Van Keilegom, Ingrid - 2019
Persistent link: https://www.econbiz.de/10012050898
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Exploring local dependence
Abberger, Klaus - 2002
This paper discusses two graphical methods for the investigation of local association of two continuous random …
Persistent link: https://www.econbiz.de/10010324099
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Dependence properties of dynamic credit risk models
Bäuerle, Nicole; Schmock, Uwe - In: Statistics & Risk Modeling 29 (2012) 3, pp. 243-268
defaults in terms of association. Implications of these results are discussed, in particular when we turn to pricing of credit … derivatives. In mathematical terms our paper contains results about association of a class of non-Markovian processes.  …
Persistent link: https://www.econbiz.de/10014622219
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A simple graphical method to explore tail-dependence in stock-return pairs
Abberger, Klaus - 2004
For a bivariate data set the dependence structure can not only be measured globally, for example with the Bravais-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of dependencies in the tails of the bivariate distribution...
Persistent link: https://www.econbiz.de/10010263421
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Exploring local dependence
Abberger, Klaus - 2002
This paper discusses two graphical methods for the investigation of local association of two continuous random …
Persistent link: https://www.econbiz.de/10011545109
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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
copula. Our developments and proofs make use of, and build upon, recent elegant results of Koul and Ling (2006) and Koul …
Persistent link: https://www.econbiz.de/10005149050
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A simple graphical method to explore tail-dependence in stock-return pairs
Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2004
For a bivariate data set the dependence structure can not only be measured globally, for example with the Bravais-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of dependencies in the tails of the bivariate distribution...
Persistent link: https://www.econbiz.de/10005178255
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Measuring association and dependence between random vectors
Grothe, Oliver; Schnieders, Julius; Segers, Johan - In: Journal of Multivariate Analysis 123 (2014) C, pp. 96-110
Measures of association are suggested between two random vectors. The measures are copula-based and therefore invariant … association. In case the random vectors are just random variables, the measures reduce to Kendall’s tau or Spearman’s rho …-sample behavior is investigated by simulation. The measures are applied to characterize strength and direction of association of …
Persistent link: https://www.econbiz.de/10010718994
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Exploring local dependence
Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002
This paper discusses two graphical methods for the investigation of local association of two continuous random …
Persistent link: https://www.econbiz.de/10005562282