Essays about: "Copulas."

Showing result 16 - 20 of 44 essays containing the word Copulas..

  1. 16. The Use of the Copula in Non-Copula Constructions in the Languages of South Asia

    University essay from Uppsala universitet/Institutionen för lingvistik och filologi

    Author : Anna Sjöberg; [2018]
    Keywords : south asia; linguistic area; typology; dravidian; munda; tibeto-burman; indo-aryan; copula;

    Abstract : In this thesis, I explore the use of copulas in non-copula constructions in the languages of South Asia to establish possible genetic and areal tendencies in the distribution. Using materials – language descriptions and data – from Grierson’s Linguistic Survey of India, I examine the phenomenon in 206 languages from four families (Munda, Dravidian, Indo-Aryan and Sino-Tibetan). READ MORE

  3. 17. Optimal mass transport: a viable alternative to copulas in financial risk modeling?

    University essay from KTH/Matematik (Inst.)

    Author : Johan Orrenius; [2018]
    Keywords : Optimal mass transport; Financial risk; Copulas;

    Abstract : Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. READ MORE

  4. 18. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ran Tao; Xin Yuan; [2018]
    Keywords : Time varying copula; Variational mode decomposition; Risk spillovers; CoVaR; delta CoVaR;

    Abstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE

  5. 19. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    University essay from KTH/Matematisk statistik

    Author : Katja Dalne; [2017]
    Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

  6. 20. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives

    University essay from KTH/Matematisk statistik

    Author : Johan Viktorsson; [2017]
    Keywords : ;

    Abstract : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. READ MORE