نتایج جستجو برای: by combining copula functions and garch models we used a method called copula
تعداد نتایج: 21282401 فیلتر نتایج به سال:
it is definitely necessary to understand the concept and behavior of causation of life insurance policies and its determinants for insurance managers, regulators, and customers. for insurance managers, the profitability and liquidity of insurers can be increasingly influenced by the number of causation through costs, adverse selection, and cash surrender values. therefore, causation is a materi...
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...
Copulas. We study the model risk of multivariate models in a comprehensive empirical on Copula-GARCH used for forecasting Value-at-Risk and Expected Shortfall. To determine whether inherent portfolio is caused by candidate marginal or copula models, we analyze different groups which fix either marginals, copula, neither. Model economically significant, especially high during periods crisis, alm...
Background: The defining characteristic of a longitudinal study is that subjects are measured repeatedly through time. Longitudinal studies are in contrast to cross-sectional studies, in which a single outcome is measured for each individual. The primary objective of this study is to use copulas to model the within-subject dependencies over time. Methods: In this longitudinal study, we used the...
in the name of allah , the compassionate the merciful abstract shath ( blasphemic utterace made during spiritual ) is a complicated concept that deserves reflection in gnosticism and sufism ( mysticism ) and estem and westem scholars have alwaya paid attention to it. although principal essence of gnostic belief is the holy divine law ,gnosticism has pure and unique thoughts . by glancing at t...
Abstract Estimation of instantaneous peak discharge is important in the design hydraulic structures and reservoir management. In this study, a new approach called CEEMD-Copula-GARCH presented for simulating Qale Shahrokh basin, upstream Zayanderood Dam, Iran. developed method, Complementary ensemble empirical mode decomposition (CEEMD) algorithm was used to analyze observed values generate intr...
nowadays, air pollution is a global problem that has had significant growth by technology development, population growth andindustrial development. industrial development brought natural resources deterioration, more manufacturing products, and more environmental pollutants. if pollutant won’t be controlled, human-being and wildlife will face the critical risks. significant release and critical...
the present dissertation aims to investigate four-word lexical bundles in applied linguistics research articles by iranian and internationally-published writers. the aims of this study are two-fold: first of all, attempts have been made to create a comprehensive list of the most commonly used four-word lexical bundles categorized by their type and token frequency, their structural characteristi...
هدف تحقیق حاضر بررسی تاثیر نشانه های فرا گفتمان متنی بر فهم متون انگلیسی به وسیله ی زبان اموزان فارسی زبان است.این تحقیق علاوه بر این کوشیده است تا میزان اگاهی این زبان اموزان و نحوه ی تعامل انان را با متون خوانده شده در زبان انگلیسی به وسیله ی پرسش نامه ی تهیه شده بررسی کند.بر اساس محتوای یک متن انگلیسی یازده سوال درست /غلط طرح گردید و یک مرتبه با ان متن و یک مرتبه با نسخه ای که نشانه ها...
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...
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