Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 18 of 18 for “"Copula models"”.
-
D-Vine Pair-Copula Models for Longitudinal Binary Data
… study alternatives that are based on D-vine pair-copula models. We consider both the serial dependence modeled by the first order autoregressive (AR(1)) and the equicorrelated correlation structures. Simulation results show that our model is more effective than MP model. Some real life data …
-
Recent Advances in Bayesian Copula Models for Mixed Data and Quantile Regression
… theoretical properties of the Bayesian Gaussian copula, and deploy these models in a variety of applications. Copula models link arbitrary univariate marginal distributions under a multivariate dependence structure to define a valid joint distribution for a random vector. By estimating the joint …
-
Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
… model's limitations, i.e. Gaussian Factor Copula Model. One of the most important drawbacks is that it has a lack of tail dependence or, in other words, it needs more skewed correlation. However, by the Lévy Factor Copula Model, the microscopic approach of exploring this factor copula …
-
Analysis of Discrete Choice Probit Models with Structured Correlation Matrices
<p>Discrete choice models are very popular in Economics and the conditional logit model is the most widely used model to analyze consumer choice behavior, which was introduced in a seminal paper by McFadden (1974). This model is based on the assumption that the unobserved factors, which determine …
-
Drought predictions: applications in Australia.
… the nature of drought in Australia, multivariate models of drought characteristics are developed. Preliminary analysis demonstrates high correlations between several drought characteristics, these are the drought severity, intensity and duration. This thesis applies the copula concept, which is a …
-
Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
… of the thesis, we present and discuss the use of copulas and vine copulas for financial risk management, also introduce the term structure of risk for bivariate and multivariate data. To the best of our knowledge, this study is the first to explore multivariate term structure of risk with both …
-
Decision-Making with Heterogeneous Sensors - A Copula Based Approach
… heterogeneous sensors. We propose the use of copula theory for this purpose. Copula models are general descriptors of dependence. They provide a way to characterize the nonlinear functional relationships between the multiple modalities, which are otherwise difficult to formalize. The important …
-
Three essays on financial markets
… can hedge more effectively employing dynamic copula models. Since there is no corresponding futures contract available, airlines may have to cross hedge jet fuel with either crude oil or other refined products. Because the dependence between jet fuel and its hedging instrument is time-varying, …
-
Statistical Analysis of Response Distribution for Dependent Data via Joint Quantile Regression
… data and hierarchical data. Several models are introduced by generalizing the joint quantile regression model of Yang and Tokdar (2017) and characterizing different dependency structures via a copula model on the underlying quantile levels of the observation units. A Bayesian …
-
Modeling and Analysis of Repeated Ordinal Data Using Copula Based Likelihoods and Estimating Equation Methods
… model belong to a very general class of <em>Copula</em> models. We use the copula representation for the multivariate ordered probit model to obtain maximum likelihood estimates of the parameters. We apply the methodology in the analysis of real life data examples.</p> <p>Though likelihood …
-
On modelling volatility and mortality for pension schemes
… research is to develop volatility and mortality models that could be used in asset liability management in pension schemes. This study provides a comprehensive study of various advance multivariate DCC GARCH models which are used for construction of optimal portfolios in modelling asset return …
-
Applications of Copula Theory and Regime Switching in Finance
… and tend to cluster together. Traditional static models, such as the multivariate Normal distribution, are unable to capture these characteristics of the dependence structure, which resulted in copula models attracting attention and becoming popular over the last decade. Copulas provide greater …
-
Essays in Quantitative Risk Management for Financial Regulation of Operational Risk Models
… to ensure the solvency of a bank. Mathematical models are typically used by banks to quantify sufficient amounts of capital. In this thesis, we explore areas that advance our knowledge in regulatory risk management. In the first essay, we explore an aspect of operational risk loss modeling using …
-
Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
This thesis models the dependence risk profile, investment risk and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, …
-
Analyzing the dependence structure of microarray data: a copula–based approach
… study of clustering dependent data by means of copula functions with particular emphasis on microarray data. Copula functions are a popular multivariate modeling tool in each field where the multivariate dependence is of great interest and their use in clustering has not been still investigated. …
-
Methods and applications for space-time data
… separable and nonseparable space-time covariance models. The model is also illustrated with wind speed and streamflow datasets. Both simulation and data analyses show that modeling nonstationarity in both space and time can improve the predictive performance over stationary covariance models or …
-
Empirical applications of price transmission in international agri-food supply chains
… error correction vector autoregressive (EC-VAR) models and utilizes panel data comprising monthly observations from January 2005 to September 2012 from nineteen European countries. The period is split into two sub-periods, January 2005 to December 2008 and January 2009 to September 2012, in order …