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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
consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …
Persistent link: https://www.econbiz.de/10012611133
, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …
Persistent link: https://www.econbiz.de/10012611486
Population ageing has often been summarised through rising old-age dependence ratios. Age is therefore perceived as a … source of dependence, which supposedly causes economic problems. While these perceptions seem intuitive, they are open to … query and may be misleading. The current chapter looks at how we define dependence, how it relates to ageing, and whether it …
Persistent link: https://www.econbiz.de/10013363196
induces a positive dependence among the components, it is typically possible to improve the unconstrained lower bound. Finally …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011709542
mechanisms at play, from which we derive testable predictions. Using a new measure for countries' dependence on these critical …
Persistent link: https://www.econbiz.de/10011746794
applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as …
Persistent link: https://www.econbiz.de/10011755354
Drawing from relational exchange, dependence, and agency theories the authors explain that it is not only the type of … performance. Dependence affected relationship continuity positively. Monitoring affected the second order relational norm … continuity. Dependence, relationship continuity, monitoring, and relational norm affected distributor performance positively. …
Persistent link: https://www.econbiz.de/10010308921
We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.
Persistent link: https://www.econbiz.de/10010318720
, we examine how intermediaries’ activities fit with two central features of the social context – inequality and dependence …
Persistent link: https://www.econbiz.de/10014372769