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 ...
Comparison of different algorithms for optimizing the pseudo-likelihood surface in copula models
(European Research Consortium for Informatics and Mathematics, 2010)
Some new estimators for copula-based models
(Democratica Sarda, 2008)
Copulas offer a convenient way of modeling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. In this paper we consider a new class of semiparametric ...
Multivariate copulas with a given lower dimensional margin
(University of Warsaw, 2009)
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 ...