نتایج جستجو برای: by combining copula functions and garch models we used a method called copula

تعداد نتایج: 21282401  

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه صنعتی اصفهان - دانشکده ریاضی 1390

the main objective in sampling is to select a sample from a population in order to estimate some unknown population parameter, usually a total or a mean of some interesting variable. a simple way to take a sample of size n is to let all the possible samples have the same probability of being selected. this is called simple random sampling and then all units have the same probability of being ch...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه رازی - دانشکده ادبیات و علوم انسانی 1387

abstract the present study is concerned with the syntactic deviation in hafezs poetry. poems are known to be accompanied with various linguistic deviations. these deviations may be phonological, morphological and/or syntactic. the relatively high frequency of the cases of the syntactic deviation in hafezs poems makes this rhetorical feature as a main characteristic of his poetry. this thesis, ...

2007
Dominique GUEGAN Jing ZHANG D. Guégan J. Zhang

This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time varying volatility that are often found in financial data, generalized hyperbolic (GH) distribution is used for innovations. As t...

2006
Tae-Hwy Lee Xiangdong Long

Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear combination of dependent random variables. The dependence structure is controlled by a copula function. Our ne...

Journal: Iranian Economic Review 2020

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه علامه طباطبایی - دانشکده اقتصاد 1389

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...

2015
Jiechen Tang Chao Zhou Xinyu Yuan Songsak Sriboonchitta

This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and ...

پایان نامه :وزارت علوم، تحقیقات و فناوری - پژوهشگاه شیمی و مهندسی شیمی ایران - پژوهشکده شیمی تجزیه و معدنی 1390

hydrochlorothiazide (hct) is a diuretic agent which is shown to be effective in the treatment of hypertension. literature reports have demonstrated that urinary excretion data may be used to assess the bioavailability of various formulations containing this thiazide. also hct consumption by the athletes is one of the drugs which should be regulated by world anti-doping agency (wada), because of...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تربیت مدرس - دانشکده علوم انسانی 1389

there are two major theories of measurement in psychometrics: classical test theory (ctt) and item-response theory (irt). despite its widespread and long use, ctt has a number of shortcomings, which make it problematic to be used for practical and theoretical purposes. irt tries to solve these shortcomings, and provide better and more dependable answers. one of the applications of irt is the as...

2006
Jean-Pierre Fouque

Gaussian copula is by far the most popular copula used in the financial industry in default dependency modeling. However, it has a major drawback — it does not exhibit tail dependence, a very important property for copula. The essence of tail dependence is the interdependence when extreme events occur, say, defaults of corporate bonds. In this paper we show that some tail dependence can be rest...

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