Contributions to copula modeling
نویسنده
چکیده
This report summarizes my contributions to copulas modeling. Two main research topics are addressed: The construction of semiparametric family of copulas based on a set of orthonormal functions and a matrix and the design of efficient estimation procedures.
منابع مشابه
Spatial Interpolation Using Copula for non-Gaussian Modeling of Rainfall Data
‎One of the most useful tools for handling multivariate distributions of dependent variables in terms of their marginal distribution is a copula function‎. ‎The copula families capture a fair amount of attention due to their applicability and flexibility in describing the non-Gaussian spatial dependent data‎. ‎The particular properties of the spatial copula are rarely ...
متن کاملModeling the Dependency Structure between Stocks of Chemical Products Return, Oil Price and Exchange Rate Growth in Iran; an Application of Vine Copula
The main objective of this study is modeling the dependency structure between the returns of oil markets, exchange rate and stocks of chemical products in Iran. For this purpose, the theory of Vine Copula functions is used to investigate the dependency structure. In addition to consider a linear relationship between financial markets in Iran, the nonlinear dependency structure of these markets ...
متن کاملOptimal energy management of microgrid in day-ahead and intra-day markets using a copula-based uncertainty modeling method
Recently, economic and environmental problems have created a strong attitude toward utilizing renewable energy sources (RESs). Nevertheless, uncertainty of wind and solar power leads to a more complicated energy management (EM) of RESs in microgrids. This paper models and solves the EM problem of microgrid from the generation point of view. To do this, mathematical formulation of a grid- connec...
متن کاملCopula Functions: Characterizing Uncertainty in Probabilistic Systems
Understanding and measuring uncertainty is central in risk analysis. Uncertainty emerges when there is less information than the total information required to describe a system and environment. Uncertainty and information are so closely associated that information provided by an experiment for instance is equal to the amount of uncertainty removed. Uncertainty prevails in several forms and vari...
متن کاملDeveloping Non-linear Dynamic Model to Estimate Value at Risk, Considering the Effects of Asymmetric News: Evidence from Tehran Stock Exchange
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theo...
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تاریخ انتشار 2015