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Copulas, Tail Dependence and Applications to the Analysis of Financial Time Series
(Springer, 2013)Tail dependence is an important property of a joint distribution function that has a huge impact on the determination of risky quantities associated to a stochastic model (ValueatRisk, for instance). Here we aim at ... 
How to Prove Sklar's Theorem
(Springer, 2013)In this contribution we stress the importance of Sklar's theorem and present a proof of this result that is based on the compactness of the class of copulas (proved via elementary arguments) and the use of mollifiers. More ... 
Detecting and measuring spatial contagion
(ERCIM WG on Computing & Statistics, 2012)Contagion is usually referred to as the process that describes the spread of financial difficulties from one economy to others in the same region and beyond. In practice spatial contagion between two financial markets X ... 
A semi–parametric approach in the estimation of the structural risk in environmental applications
(Gruppo di Ricerca per le Applicazioni della Statistica ai Problemi Ambientali, 2015)In environmental applications, the estimation of the structural risk is crucial. A statistical model for the behavior of the input variables is generally required, possibly accounting for different dependence structures ... 
A graphical copula–based tool for detecting tail dependence
(CUEC, 2016)In many practical applications, the selection of copulas with a specific tail behaviour may allow to estimate properly the region of the distribution that is needed at most, especially in risk management procedures. Here, ... 
Singular copulas
(EMS Publishing House, 2015) 
Copulabased fuzzy clustering of time series
(CUEC, 2016)Motivated by a real problem of tourism destination and regional studies, we develop a clustering algorithm to identify similar patterns of tourism time series. The algorithm joins the copula–approach to cluster analysis ... 
Asymmetric copulas and their application in design of experiments
(Springer International Publisher, 2016)We present an overview on definitions and properties of asymmetric copulas, i.e. copulas whose values are not invariant under any permutation of their arguments. In particular, we review an axiomatic approach in the ... 
Copulas based on MarshallOlkin machinery
(Springer International Publishing, 2015)We present a general construction principle for copulas that is inspired by the celebrated Marshall–Olkin exponential model. From this general construction method, we derive special subclasses of copulas that could be ... 
Handling weak dependence structures with copulas
(CLEUP, 2012)We provide a method to construct a class of ncopulas C defined as C(u) = D(u_1 , . . . , u_n1 ) u_n + A(u_1 , . . . , u_n1) f(u_n). These copulas are obtained from a (n1)copula D and some suitable auxiliary functions ...