Modeling longitudinal data using a pair-copula decomposition of serial dependence
Copulas have proven to be very successful tools for the flexible modeling of cross-sectional
dependence. In this paper we express the dependence structure of continuous-valued time …
dependence. In this paper we express the dependence structure of continuous-valued time …
Copula modelling of dependence in multivariate time series
MS Smith - International Journal of Forecasting, 2015 - Elsevier
Almost all existing nonlinear multivariate time series models remain linear, conditional on a
point in time or latent regime. Here, an alternative is proposed, where nonlinear serial and …
point in time or latent regime. Here, an alternative is proposed, where nonlinear serial and …
How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method
P Zhu, T Lu, S Chen - Physica A: Statistical Mechanics and its Applications, 2022 - Elsevier
In the current paper, we investigate the problem of how do crude oil futures hedge crude oil
spot risk after the COVID-19 outbreak. Specifically, given that noise, conditional higher …
spot risk after the COVID-19 outbreak. Specifically, given that noise, conditional higher …
Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market
P Zhu, T Lu, Y Shang, Z Zhang, Y Wei - Finance Research Letters, 2023 - Elsevier
The study explores whether China's national carbon market can hedge the risks of light and
medium crude oil compared with the European carbon market, through the diversified and …
medium crude oil compared with the European carbon market, through the diversified and …
Application of Copula function in financial risk analysis
X Zhang, H Jiang - Computers & Electrical Engineering, 2019 - Elsevier
Copula function is a class of functions that use marginal probability density function to obtain
joint distribution. It is used to model multivariate joint distribution and is suitable to apply in …
joint distribution. It is used to model multivariate joint distribution and is suitable to apply in …
Of copulas, quantiles, ranks and spectra: An -approach to spectral analysis
In this paper, we present an alternative method for the spectral analysis of a univariate,
strictly stationary time series {Y_t\}_t∈Z. We define a “new” spectrum as the Fourier …
strictly stationary time series {Y_t\}_t∈Z. We define a “new” spectrum as the Fourier …
Asymmetric forecast densities for us macroeconomic variables from a gaussian copula model of cross-sectional and serial dependence
Most existing reduced-form macroeconomic multivariate time series models employ elliptical
disturbances, so that the forecast densities produced are symmetric. In this article, we use a …
disturbances, so that the forecast densities produced are symmetric. In this article, we use a …
A copula-based Markov chain model for serially dependent event times with a dependent terminal event
XW Huang, W Wang, T Emura - Japanese Journal of Statistics and Data …, 2021 - Springer
Copula modeling for serial dependence has been extensively discussed in a time series
context. However, fitting copula-based Markov models for serially dependent survival data is …
context. However, fitting copula-based Markov models for serially dependent survival data is …
Vine copula specifications for stationary multivariate Markov chains
Vine copulae provide a graphical framework in which multiple bivariate copulae may be
combined in a consistent fashion to yield a more complex multivariate copula. In this article …
combined in a consistent fashion to yield a more complex multivariate copula. In this article …
Time series copulas for heteroskedastic data
R Loaiza‐Maya, MS Smith… - Journal of Applied …, 2018 - Wiley Online Library
We propose parametric copulas that capture serial dependence in stationary
heteroskedastic time series. We suggest copulas for first‐order Markov series, and then …
heteroskedastic time series. We suggest copulas for first‐order Markov series, and then …