Ai in finance: challenges, techniques, and opportunities
L Cao - ACM Computing Surveys (CSUR), 2022 - dl.acm.org
AI in finance refers to the applications of AI techniques in financial businesses. This area has
attracted attention for decades, with both classic and modern AI techniques applied to …
attracted attention for decades, with both classic and modern AI techniques applied to …
Vine copula based modeling
With the availability of massive multivariate data comes a need to develop flexible
multivariate distribution classes. The copula approach allows marginal models to be …
multivariate distribution classes. The copula approach allows marginal models to be …
Analyzing dependent data with vine copulas
C Czado - Lecture Notes in Statistics, Springer, 2019 - Springer
This book is written for graduate students and researchers, who are interested in using
copula-based models for multivariate data structures. It provides a step-by-step introduction …
copula-based models for multivariate data structures. It provides a step-by-step introduction …
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
This study characterizes the oil market as a nonlinear-switching phenomenon and examines
its dynamics in response to changes in geopolitical risks over low-and high-risk scenarios …
its dynamics in response to changes in geopolitical risks over low-and high-risk scenarios …
[图书][B] Dependence modeling with copulas
H Joe - 2014 - books.google.com
Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …
in the field during the last 15 years, including vine copula modeling of high-dimensional …
Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model
Unlike previous studies, we employ a relatively newer modelling technique—a time-varying
copula with a switching dependence—to characterise the conditional dependence between …
copula with a switching dependence—to characterise the conditional dependence between …
Selecting and estimating regular vine copulae and application to financial returns
J Dissmann, EC Brechmann, C Czado… - … Statistics & Data Analysis, 2013 - Elsevier
Regular vine distributions which constitute a flexible class of multivariate dependence
models are discussed. Since multivariate copulae constructed through pair-copula …
models are discussed. Since multivariate copulae constructed through pair-copula …
[HTML][HTML] A review of copula models for economic time series
AJ Patton - Journal of Multivariate Analysis, 2012 - Elsevier
This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …
and financial time series. Copula-based multivariate models allow the researcher to specify …
Modeling dependence with C-and D-vine copulas: the R package CDVine
EC Brechmann, U Schepsmeier - Journal of statistical software, 2013 - jstatsoft.org
Flexible multivariate distributions are needed in many areas. The popular multivariate
Gaussian distribution is however very restrictive and cannot account for features like …
Gaussian distribution is however very restrictive and cannot account for features like …
Copula methods for forecasting multivariate time series
A Patton - Handbook of economic forecasting, 2013 - Elsevier
Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …
distributions, allowing the researcher to specify the models for the marginal distributions …