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A method to obtain new copulas from a given one
(Springer Verlag Berlín, 2005-04)
Given a strictly increasing continuous function φ from [0, 1] to [0, 1] and its pseudo-inverse φ[−1], conditions that φ must satisfy for C φ (x1, . . . ,xn)=φ[−1](C(φ(x1), . . . ,φ(xn))) to be a copula for any copula C are ...
Multivariate conditional density estimation with copulas
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2021-09-29)
Most machine learning regression models only yield single point estimations for the label of a new observation. However, when dealing with multi-modal or asymmetric distributions, a single point estimate is not enough to ...
The Structure Of The Class Of Maximum Tsallis-havrda-chavat Entropy Copulas
(MDPI AGBasel, 2016)
Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: constant and time-varying
In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset
against the movement of international market stock indices: S&P500 (US), STOXX50
(EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI ...
Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model ApproachEvolução e Diversificação do Risco Global: uma Abordagem com Modelo Cópula-DCC-GARCH
(Lociedade Brasileira de Finanças, 2012)