Predicting times to event based on vine copula models

Vine-copula Based Models for Farmland Portfolio Management

Vine Copula Models with GLM and Sparsity

Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models. In this paper, generalized linear models (GLMs) are proposed fo...

Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models

We develop Bayesian inference of a multivariate GARCH model where the dependence is introduced by a D-vine copula on the innovations. A D-vine copula is a special case of vine copulas which are a relatively new and very flexible concept to construct multivariate copulas. In particular it allows to model dependency between pairs of margins individually. In a simulation study and three real data ...

A Vine Copula Model for Predicting the Effectiveness of Cyber Defense Early-Warning

Internet-based computer information systems play critical roles in many aspects of the modern society. However, these systems are constantly under cyber attacks that can cause catastrophic consequences. In order to defend these systems effectively, it is necessary to measure and predict the effectiveness of cyber defense mechanisms. In this paper, we investigate how to measure and predict the e...

ACCEPTED MANUSCRIPT A Vine Copula Model for Predicting the Effectiveness of Cyber Defense Early-Warning

Internet-based computer information systems play critical roles in many aspects of the modern society. However, these systems are constantly under cyber attacks that can cause catastrophic consequences. In order to defend these systems effectively, it is necessary to measure and predict the effectiveness of cyber defense mechanisms. In this paper, we investigate how to measure and predict the e...