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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Mian Du, Jun Yi, Peyman Mazidi, Lin Cheng and Jianbo Guo
Wind turbine anomaly or failure detection using machine learning techniques through supervisory control and data acquisition (SCADA) system is drawing wide attention from academic and industry While parameter selection is important for modelling a wind t...
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Dongdong Zuo, Wei Hou, Jingguo Hu
Pág. 1 - 20
Because of the high correlation between random variables of drought duration and severity, their joint distribution is difficult to obtain by traditional mathematical methods. However, the copula method has proved to be a useful tool for analyzing the fr...
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Panpan Zhao, Haishen Lü, Guobin Fu, Yonghua Zhu, Jianbin Su, Jianqun Wang
Pág. 1 - 15
This study investigates the sensitivity and uncertainty of hydrological droughts frequencies and severity in the Weihe Basin, China during 1960?2012, by using six commonly used univariate probability distributions and three Archimedean copulas to fit the...
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Mahdi Hesami Afshar, Ali Unal Sorman, Mustafa Tugrul Yilmaz
Pág. 1 - 16
In this study, commonly used copula functions belonging to Archimedean and Elliptical families are fitted to the univariate cumulative distribution functions (CDF) of the drought characteristics duration ( LD ), average severity ( S¯ ), and average areal...
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Zhiyuan Pan,Xianchao Sun
Pág. 107 - 121
Calculating accurately the optimal hedge ratio plays an important role in the futures market for both practitioners and academicians. In this paper, we combine copula and nonparametric technique, where marginal setting is modeled by nonparametric techniq...
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Pedro Alberto Morettin,Clélia Maria de Castro Toloi,Chang Chiann,José Carlos Simon de Miranda
Pág. 263 - 281
We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data a...
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