A threshold model for time varying copulas
نویسندگان
چکیده
We develop threshold models that allow copula functions or their association parameters changing across time. The number and location of thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required marginal densities for a given model. We apply our methodology to financial time series emphasizing the ability to improve estimates of risk characteristics, as well as measuring financial contagion by inspecting changing dependence structures.
منابع مشابه
Modeling and Forecasting Iranian Inflation with Time Varying BVAR Models
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملAn inventory model for deteriorating items with time-dependent demand and time-varying holding cost under partial backlogging
In this paper, we considered a deterministic inventory model with time-dependent demand and time-varying holding cost where deterioration is time proportional. The model considered here allows for shortages, and the demand is partially backlogged. The model is solved analytically by minimizing the total inventory cost. The result is illustrated with numerical example for the model. The model ca...
متن کاملAsymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملOnline Monitoring for Industrial Processes Quality Control Using Time Varying Parameter Model
A novel data-driven soft sensor is designed for online product quality prediction and control performance modification in industrial units. A combined approach of time variable parameter (TVP) model, dynamic auto regressive exogenous variable (DARX) algorithm, nonlinear correlation analysis and criterion-based elimination method is introduced in this work. The soft sensor performance validation...
متن کاملHierarchical Archimedean Copulae over time dependence with applications to Financial Data
In the classical multivariate time series models the residuals are assumed to be normally distributed. However the assumption of normality is rarely consistent with the empirical evidence and leads to possibly incorrect inferences from financial models. The copula theory allows us to extend the classical time series models to nonelliptically distributed residuals. In this paper we analyze the t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005