Aggregation Functions: A Multivariate Approach Using Copulae
نویسندگان
چکیده
منابع مشابه
Aggregation Functions: A Multivariate Approach Using Copulae
In this paper we present the extension of the copula approach to ag-gregation functions. In fact we want to focus on a class of aggregation functions and present them in the multi linear form with marginal copu-lae. Moreover we will define also the joint aggregation density function.
متن کاملMultivariate Option Pricing Using Copulae
The complexity of financial products significantly increased in the past ten years. In this paper we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1,1) processes and it involves to model the dependency among the assets using a copula based on pair-c...
متن کاملA copula - based approach to aggregation functions
This paper presents the role of copula functions in the theory of aggregation operators and an axiomatic characterization of Archimedean aggregation functions. In this context we are focusing our attention about several properties of aggregation functions, like supermodularity and Schur-concavity.
متن کاملA philosophical Approach to the Allocation or Aggregation of Geography
Introduction Geography first started with simple writing. But today, this science has gained a lot of potentials and with its technical tools which has at hand, has new specialized trends and is training new experts and specialists. Hence, in the present age, especially in Iran, geography is referred to as (interdisciplinary science), because it both studies natural sciences and human sciences...
متن کاملAn Analysis of Performance Measures using Copulae
We have carried out a detailed comparison of the statistical properties and the relationships between a set of five performance measures using 14 UK based Investment Trusts over a sample period ranging from 1980 to 2001. Our results suggest very clearly that there is almost no difference between Jensen’s Alpha, the Treynor-Mazuy (TM) measure and the Positive Period Weighting(PPW) measure over o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1084803