Search Results - subject_exact:"Multivariate Verteilung" (original) (raw)

- In: Journal of the Academy of Marketing Science 53 (2025) 1, pp. 279-299

Persistent link: https://ebtypo.dmz1.zbw/10015193008

Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19

Persistent link: https://ebtypo.dmz1.zbw/10015324226

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

Persistent link: https://ebtypo.dmz1.zbw/10015195717

Scarcilli, Giovanna - 2024

Persistent link: https://ebtypo.dmz1.zbw/10014515806

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103

Persistent link: https://ebtypo.dmz1.zbw/10015067023

Lai, Tsung-Chih; Su, Jiun-Hua - In: Economics letters 241 (2024), pp. 1-3

Persistent link: https://ebtypo.dmz1.zbw/10015078357

Haschka, Rouven E. - In: Journal of productivity analysis : an official journal … 62 (2024) 1, pp. 71-90

Persistent link: https://ebtypo.dmz1.zbw/10015120938

Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid Irshad - In: The journal of corporate accounting & finance 35 (2024) 4, pp. 139-155

Persistent link: https://ebtypo.dmz1.zbw/10015152922

Pflugfelder, Yannik; Schinke-Nendza, Aiko; Dumas, Jonathan - 2024

Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day and night-time periods in solar photovoltaic...

Persistent link: https://ebtypo.dmz1.zbw/10015135416

Hamza, Taher; Ben Haj Hamida, Hayet; Mili, Mehdi; Sami, Mina - In: Research in international business and finance 70 (2024) 2, pp. 1-14

Persistent link: https://ebtypo.dmz1.zbw/10015056940

Evkaya, Ozan; Gür, İsmail; Külekci, Bükre Yıldırım; … - In: Computational economics 64 (2024) 5, pp. 2935-2980

Persistent link: https://ebtypo.dmz1.zbw/10015144100

Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643

Persistent link: https://ebtypo.dmz1.zbw/10015144255

Fülle, Markus J.; Herwartz, Helmut - In: Journal of forecasting 43 (2024) 6, pp. 2163-2186

Persistent link: https://ebtypo.dmz1.zbw/10015110378

Schmitt, Jonas; Offermann, Frank; Ribeiro, Andreia F. S.; … - In: Agricultural economics : the journal of the … 55 (2024) 5, pp. 823-847

Persistent link: https://ebtypo.dmz1.zbw/10015133221

Cerqueti, Roy; Cesarone, Francesco; Heusch, Maria C.; … - In: Review of managerial science : RMS 18 (2024) 7, pp. 1985-2005

Persistent link: https://ebtypo.dmz1.zbw/10015134056

Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32

Persistent link: https://ebtypo.dmz1.zbw/10015052354

Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://ebtypo.dmz1.zbw/10015052590

Michelis, Leo; Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://ebtypo.dmz1.zbw/10015052606

Koike, Takaaki; Lin, Liyuan; Wang, Ruodu - 2024

Persistent link: https://ebtypo.dmz1.zbw/10015073822

Marra, Giampiero; Radice, Rosalba; Zimmer, David - In: Econometric reviews 43 (2024) 1, pp. 52-70

Persistent link: https://ebtypo.dmz1.zbw/10014486391

Rungnapa Opartpunyasarn - 2024

Persistent link: https://ebtypo.dmz1.zbw/10014476514

Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-17

Persistent link: https://ebtypo.dmz1.zbw/10014445636

Manner, Hans; Rodriguez, Gabriel; Stöckler, Florian - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1385-1403

Persistent link: https://ebtypo.dmz1.zbw/10014446630

Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159

Persistent link: https://ebtypo.dmz1.zbw/10014449844

Fakhfekh, Mohamed; Bejaoui, Azza; Bariviera, Aurelio … - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-17

Persistent link: https://ebtypo.dmz1.zbw/10014492041

Persistent link: https://ebtypo.dmz1.zbw/10014463682

Einmahl, John H. J.; Chen Zhou - 2024

Persistent link: https://ebtypo.dmz1.zbw/10014467520

Wu, Shaomin - In: European journal of operational research : EJOR 314 (2024) 3, pp. 854-866

Persistent link: https://ebtypo.dmz1.zbw/10014456920

Power, Justine; Côté, Marie-Pier; Duchesne, Thierry - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 772-800

Persistent link: https://ebtypo.dmz1.zbw/10015189573

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076

Persistent link: https://ebtypo.dmz1.zbw/10015188547

Conlon, Thomas; Cotter, John; Ropotos, Ioannis - 2024

Persistent link: https://ebtypo.dmz1.zbw/10015197988

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://ebtypo.dmz1.zbw/10014532413

Negi, Digvijay S.; Ramaswami, Bharat - In: Q open : a journal of agricultural, climate, … 4 (2024) 1, pp. 1-24

Rainfall is an important source of covariate shock in developing countries. Insurance against a rainfall index has, therefore, held much promise as a formal insurance product to protect the livelihoods of poor farmers. But how good is rainfall as a measure of covariate shocks? The imperfect...

Persistent link: https://ebtypo.dmz1.zbw/10015053889

Wang, Yanfeng; Ke, Rui; Yang, Dong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-13

Persistent link: https://ebtypo.dmz1.zbw/10015271380

Zhao, Mingtao; Lu, Suwan; Cui, Lianbiao - In: Energy strategy reviews 52 (2024), pp. 1-14

The International Clean Energy Market (ICEM) has emerged as one of the fastest-growing sectors in the energy industry. The increasing financialization and integration of the ICEM has meant that internal systemic risks have begun to surface, which can potentially seriously threaten the stable...

Persistent link: https://ebtypo.dmz1.zbw/10014583304

Dias, Alexandra - In: Risks : open access journal 12 (2024) 1, pp. 1-26

It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...

Persistent link: https://ebtypo.dmz1.zbw/10014480997

Kokoszka, Piotr; Lin, Mengting; Wang, Haonan; Hayne, Stephen - In: Statistics in transition : an international journal of … 25 (2024) 1, pp. 1-22

We develop statistical methodology for the quantification of risk of source-destination pairs in an internet network. The methodology is developed within the framework of functional data analysis and copula modeling. It is summarized in the form of computational algorithms that use bidirectional...

Persistent link: https://ebtypo.dmz1.zbw/10015125398

Gurgul, Henryk; Syrek, Robert - In: Statistics in transition : an international journal of … 25 (2024) 1, pp. 23-41

In this paper, the copula theory is used to describe the dependence structure between variables, while the information theory provides the tools necessary to measure the uncertainty associated with these variables. What both theories have in common is copula entropy, which is strictly related to...

Persistent link: https://ebtypo.dmz1.zbw/10015125399

Zhang, Mianmian; Zhu, Bing; Li, Ziyuan; Jin, Siyuan; … - In: Financial innovation : FIN 10 (2024), pp. 1-30

The cryptocurrency market is a complex and rapidly evolving fnancial landscape in which understanding the inter- and intra-asset dependencies among key fnancial variables, such as return and liquidity, is crucial. In this study, we analyze daily return and liquidity data for six major...

Persistent link: https://ebtypo.dmz1.zbw/10014529822

Lefevre, Claude; Tamturk, Muhsin; Utev, Sergey; … - In: Risks : open access journal 12 (2024) 5, pp. 1-16

In this research, we consider cyber risk in insurance using a quantum approach, with a focus on the differences between reported cyber claims and the number of cyber attacks that caused them. Unlike the traditional probabilistic approach, quantum modeling makes it possible to deal with...

Persistent link: https://ebtypo.dmz1.zbw/10014636546

Yan, Tianxing; Yi, Lu; Jeong, Himchan - In: Risks : open access journal 12 (2024) 6, pp. 1-17

The Danish fire loss dataset records commercial fire losses under three insurance coverages: building, contents, and profits. Existing research has primarily focused on the heavy-tail behaviour of the losses but ignored the relationship among different insurance coverages. In this paper, we aim...

Persistent link: https://ebtypo.dmz1.zbw/10014636713

Mousavi, Samane Al-sadat; Dolati, Ali; Dastbaravarde, Ali - In: Risks : open access journal 12 (2024) 6, pp. 1-17

The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, selecting a set of investment opportunities is...

Persistent link: https://ebtypo.dmz1.zbw/10014636835

Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Persistent link: https://ebtypo.dmz1.zbw/10014636410

Heilpern, Stanisław - In: Central European journal of economic modelling and … 16 (2024) 2, pp. 95-124

Persistent link: https://ebtypo.dmz1.zbw/10015326080

Woraphon Yamaka; Gupta, Rangan; Sukrit Thongkairat; … - In: Journal of forecasting 42 (2023) 2, pp. 223-239

Persistent link: https://ebtypo.dmz1.zbw/10014292148

Shiraya, Kenichiro; Yamakami, Tomohisa - 2023

Persistent link: https://ebtypo.dmz1.zbw/10014266209

Su, Xiaoshan; Li, Yuhan - 2023

This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change-point detection is employed to better construct mixture R-vine...

Persistent link: https://ebtypo.dmz1.zbw/10014353602

Copulas are widely used in financial economics (Brigo 2010) as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes “a natural copula” concept, which minimizes Wasserstein distance between distributions in some space, in which...

Persistent link: https://ebtypo.dmz1.zbw/10014355077

Christopoulos, Dimitris; Smyrnakis, Dimitris; Tzavalis, … - 2023

In this paper, in order to cope with the problem of endogenous regressors in cases that the linear regression model is non-identifiable, we suggest estimators handling the problem of multicollinearity to improve the performance of the Gaussian copula approach. This problem occurs when the...

Persistent link: https://ebtypo.dmz1.zbw/10014356987

The demand for statistically sound decisions and their economic impact on policymaking and trading, involving many variables in trading index volumes, is rapidly increasing. Specifically, the modeling of the dependence structure among a higher number of cryptocurrencies in the crypto market has...

Persistent link: https://ebtypo.dmz1.zbw/10014362172