In this paper, we study the quantitative measurement of contagion effect between US and Chinese stock market during the financial crisis by combining multifractal volatility (MFV) with the copula method. At first, we employ MFV to filter volatility of the twomarkets due to the existence of heteroskedasticity. Thenwe use an improved time-varying Clayton copula to estimate the dynamic lower tail ...

With the increasing penetration of wind power, not only the uncertainties but also the correlation among the wind farms should be considered in the power system analysis. In this paper, Clayton-Copula method is developed to model the multiple correlated wind distribution and a new point estimation method (PEM) is proposed to discretize the multi-correlated wind distribution. Furthermore, combin...

In individuals infected with human immunodeficiency virus (HIV), distributions of quantitative HIV RNA measurements may be highly left-censored due to values falling below assay detection limits (DL). It is of the interest to find the relationship between plasma and semen viral loads. To address this type of problem, we developed an empirical goodness-of-fit test to check the Clayton model assu...

Abstract. This paper proposes a general non-Gaussian Ornstein-Uhlenbeck model for a joint financial process based on marginal Lévy measures joined by a Lévy copula. Simulated processes then result from choices of marginal measures and Lévy copulas, with resulting statistics and inferences. Selected for analysis are the 3/2-stable and Gamma marginal Lévy measures, along with Clayton, Gumbel, and...

Copulas are statistical tools for modelling the multivariate structure between variables in a distribution free way. They are beginning to be used in financial literature as an alternative to the multivariate normal. After reviewing the main properties of bivariate and multivariate copulas, three multivariate families are presented: the classical multivariate normal, the Fairlie-Gumbel-Morganst...

Risk measure forecast and model have been developed in order to not only provide better but also preserve its (empirical) property especially coherent property. Whilst the widely used risk of Value-at-Risk (VaR) has shown performance benefit many applications, it is fact a measure. Conditional VaR (CoVaR), defined as mean losses beyond VaR, one alternative measures that satisfies There several ...

Analyzing the future values of anticipated claims is essential in order for insurance companies to avoid major losses caused by prospective claims. This study proposes a novel three-parameter compound Lomax extension. The new density can be "monotonically declining", "symmetric", "bimodal-asymmetric", "asymmetric with right tail", wide peak" or left tail". hazard rate take following shapes: "J-...

Drought & flood events, especially the drought & flood combination events (DFCEs) on the North China Plain (NCP), known as an important grain production region in China, constitute a serious threat to China’s food security. Studies on DFCEs in this region are of great significance for the rational allocation of water resources and the formulation of integrated response strategy for droughts and...

Abstract. Some coastal structures must be redesigned in the future due to rising sea levels caused by climate change. The design of subjected actions waves requires an accurate estimate long return period such parameters as wave height, period, storm surge and more specifically their joint exceedance probabilities. simplified Defra method that is currently used particular for European makes it ...

This study analyzed the multivariate flood risk for river Thames at Kingston based on historical data from National River Flow Archive (NRFA) website. The bivariate analysis framework was prepared joint return periods of peak flow (m3/s) and 3-day annual maximum pair. A total 137 samples pairs 1883 to 2019 were adopted analysis. characterized depending quantification frequency pair through copu...