Now showing items 1-6 of 6
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 graphical copula–based tool for detecting tail dependence
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, ...
Copula-based fuzzy clustering of time series
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 ...
Handling weak dependence structures with copulas
We provide a method to construct a class of n-copulas C defined as C(u) = D(u_1 , . . . , u_n-1 ) u_n + A(u_1 , . . . , u_n-1) f(u_n). These copulas are obtained from a (n-1)-copula D and some suitable auxiliary functions ...
A method for constructing multivariate copulas
(University of Ostrava, 2007)
We provide a method for Constructing a class of multivariate copulas; depending on a univariate function. We study some properties of this class and present several examples. The same circle of idea's is used in a similar ...
(EMS Publishing House, 2015)