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Copula

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	43%
Mathematics and Statistics	35%
Life Sciences	10%
3 Other Domains	12%

Distribution within Business, Economics, Finance and Accounting

General & Introductory Finance & Investments	32%
Econometrics	13%

Kinds of Copula

gaussian copula

Terms modified by Copula

Selected Abstracts

Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach,

ECONOMIC NOTES, Issue 3 2004
Annalisa Di Clemente
In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non-normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula-based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t-copula, the grouped t-copula and the Clayton n-copula (or Cook,Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps. [source]

Copulas and Temporal Dependence

ECONOMETRICA, Issue 1 2010
Brendan K. Beare
An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric , -mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric , -mixing is obtained under a weaker condition that permits both asymmetry and tail dependence. We verify one or both of these conditions for a range of parametric copula functions that are popular in applied work. [source]

On the construction of multivariate extreme value models via copulas

ENVIRONMETRICS, Issue 2 2010
F. Durante
Abstract Copulas represent a fundamental tool for constructing multivariate probability distributions. Exploiting recent theoretical developments concerning the construction of copulas, we outline several methods for generating multivariate extreme value (MEV) laws having a suitable number of parameters, a feature of great importance in applications. The corresponding random vectors can be efficiently simulated, and easily fitted to empirical data. The use of multivariate return periods for extreme events is also discussed. A practical illustration involving maxima sampled via a network of non-independent gauge stations is presented. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited

ENVIRONMETRICS, Issue 3 2008
Aristidis K. Nikoloulopoulos
Abstract The seismic gap hypothesis assumes that the intensity of an earthquake and the time elapsed from the previous one are positively related. Previous works on this topic were based on particular assumptions for the joint distribution implying specific type of dependence. We investigate this hypothesis using copulas. Copulas are flexible for modelling the dependence structure far from assuming simple linear correlation structures and, thus, allow for better examination of this controversial aspect of geophysical research. In fact, via copulas, marginal properties and dependence structure can be separated. We propose a model averaging approach in order to allow for model uncertainty and diminish the effect of the choice of a particular copula. This enlarges the range of potential dependence structures that can be investigated. Application to a real data set is provided. Copyright © 2007 John Wiley & Sons, Ltd. [source]

The Use of Archimedean Copulas to Model Portfolio Allocations

MATHEMATICAL FINANCE, Issue 2 2002
David A. Hennessy
A copula is a means of generating an n -variate distribution function from an arbitrary set of n univariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set of n -variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the reversed hazard rate ordering of the n underlying univariate distributions. We also establish conditions under which first- and second-degree dominating shifts in one of the n underlying univariate distributions increase allocation to that asset. Our findings exploit separability properties possessed by the Archimedean family of copulas. [source]

Joint Regression Analysis of Correlated Data Using Gaussian Copulas

BIOMETRICS, Issue 1 2009
Peter X.-K.
Summary This article concerns a new joint modeling approach for correlated data analysis. Utilizing Gaussian copulas, we present a unified and flexible machinery to integrate separate one-dimensional generalized linear models (GLMs) into a joint regression analysis of continuous, discrete, and mixed correlated outcomes. This essentially leads to a multivariate analogue of the univariate GLM theory and hence an efficiency gain in the estimation of regression coefficients. The availability of joint probability models enables us to develop a full maximum likelihood inference. Numerical illustrations are focused on regression models for discrete correlated data, including multidimensional logistic regression models and a joint model for mixed normal and binary outcomes. In the simulation studies, the proposed copula-based joint model is compared to the popular generalized estimating equations, which is a moment-based estimating equation method to join univariate GLMs. Two real-world data examples are used in the illustration. [source]

Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach,

Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited

The flight-to-quality effect: a copula-based analysis

ACCOUNTING & FINANCE, Issue 2 2010
Robert B. Durand
G12 Abstract We derive and estimate a copula combining the features of the Frank and Gumbel copulas to analyse the relationship between equity and long-term bond returns. Our analysis of quarterly returns from 1952 to 2003 finds that, in general, there is a positive relationship between equity returns and bond returns. In extreme situations, however, there is approximately a one-in-seven chance of a flight-to-quality effect where large negative equity returns are associated with large positive bond returns. [source]

Tail-dependence in stock-return pairs

INTELLIGENT SYSTEMS IN ACCOUNTING, FINANCE & MANAGEMENT, Issue 2 2002
Ines Fortin
The empirical joint distribution of return pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric tail-dependence is not compatible with the assumption of a joint student-t distribution. A general test for one dependence structure versus another via the profile likelihood is described and employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its copula. The copula used in the paper is such that it allows for the existence of lower tail-dependence and for asymmetric tail-dependence, and is such that it encompasses the normal or t-copula, depending on the benchmark tested. The model is estimated using bivariate data on a set of European stock indices. We find that the assumption of normal or student-t dependence is easily rejected in favour of an asymmetrically tail-dependent distribution. Copyright © 2002 John Wiley & Sons, Ltd. [source]

Sperm transfer, sperm storage, and sperm digestion in the hermaphroditic land snail Succinea putris (Gastropoda, Pulmonata)

INVERTEBRATE BIOLOGY, Issue 2 2009
Lobke Dillen
Abstract. Many hermaphroditic species are promiscuous, have a sperm digesting organ and an allosperm storage organ (i.e., spermatheca) with multiple compartments (i.e., spermathecal tubules) providing opportunities for sperm competition. The relative paternity of a sperm donor drives the evolution of mating behaviors that allow manipulation of the sperm receiver's reproductive behavior or physiology. We studied the relationship between sperm transfer, sperm storage, sperm digestion, and copulation duration in the hermaphroditic land snail Succinea putris, in which an active individual mates on top of a passive individual. Specifically, we examined (i) whether the entire copulation duration was required to complete reciprocal sperm transfer, (ii) sperm transfer patterns and their relationship with activity role, and (iii) the timing of sperm storage and sperm digestion. We found that reciprocal sperm transfer was completed within the first 5 h of copulation, which is ,2,3 h before the end of copulation. Sperm transfer was mainly sequential, meaning that one individual donated all his ejaculate before its partner started to reciprocate. The initiation of sperm transfer did not depend on the activity role. The presence of allosperm in the spermatheca before sperm transfer suggests that individuals remate before they are allosperm depleted. No sperm was digested during copulation but sperm digestion took place 0,72 h after copulation. Our results suggest that contact mate guarding is a likely manipulation strategy in S. putris, because partners cannot immediately remate. In addition, staying in copula after sperm transfer is completed seems to prevent the immediate digestion of sperm and therefore may promote sperm displacement and allosperm storage. [source]

Estimation of multivariate models for time series of possibly different lengths

JOURNAL OF APPLIED ECONOMETRICS, Issue 2 2006
Andrew J. Patton
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to a marginal distribution and elements relating to the copula. In such a case we propose using a multi-stage maximum likelihood estimator (MSMLE) based on all available data rather than the usual one-stage maximum likelihood estimator (1SMLE) based only on the overlapping data. We provide conditions under which the MSMLE is not less asymptotically efficient than the 1SMLE, and we examine the small sample efficiency of the estimators via simulations. The analysis in this paper is motivated by a model of the joint distribution of daily Japanese yen,US dollar and euro,US dollar exchange rates. We find significant evidence of time variation in the conditional copula of these exchange rates, and evidence of greater dependence during extreme events than under the normal distribution. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Development of the pharyngeal arch skeleton in Catostomus commersonii (Teleostei: Cypriniformes)

JOURNAL OF MORPHOLOGY, Issue 3 2009
Jeffrey M. Engeman
Abstract Skeletal elements of the gill arches of adult cypriniform fishes vary widely in number, size, and shape and are important characters in morphologically based phylogenetic studies. Understanding the developmental basis for this variation is thus phylogenetically significant but also important in relation to the many developmental genetic and molecularly based studies of the early developing and hence experimentally tractable gill arches in the zebrafish, a cyprinid cypriniform. We describe the sequence of the chondrification and ossification of the pharyngeal arches and associated dermal bones from Catostomus commersonii (Catostomidae, Cypriniformes) and make selected comparisons to other similarly described pharyngeal arches. We noted shared spatial trends in arch development including the formation of ventral cartilages before dorsal and anterior cartilages before posterior. Qualitatively variable gill arch elements in Cypriniformes including pharyngobranchial 1, pharyngobranchial 4, and the sublingual are the last such elements to chondrify in C. commersonii. We show that the sublingual bone in C. commersonii has two cartilaginous precursors that fuse and ossify to form the single bone in adults. This indicates homology of the sublingual in catostomids to the two sublingual bones in the adults of cobitids and balitorids. Intriguing patterns of fusion and segmentation of the cartilages in the pharyngeal arches were discovered. These include the individuation of the basihyal and anterior copula through segmentation of a single cartilage rod, fusion of cartilaginous basibranchials 4 and 5, and fusion of hypobranchial 4 with ceratobranchial 4. Such "fluidity" in cartilage patterning may be widespread in fishes and requires further comparative developmental studies. J. Morphol., 2009. © 2008 Wiley-Liss, Inc. [source]

Mating behaviour of the ,cosmopolitan' species Phyllognathopus viguieri (Copepoda: Harpacticoida) and its systematical significance

JOURNAL OF ZOOLOGICAL SYSTEMATICS AND EVOLUTIONARY RESEARCH, Issue 4 2008
D. Königshoff
Abstract The mating behaviour was studied and recorded on video with individuals of four cultures of Phyllognathopus viguieri from different populations obtained from the interstitial water of a slow sand filter near the river Ruhr (Germany) (Ruhr population), from a compost heap in Bethesda (Maryland, USA) (Maryland population), from a rain gauge in Windsor Campbell farm (Jamaica) (Jamaica population), and a tree trunk with moss in a forest in the municipality of Rio de Janeiro (Brazil) (Brazil population). The mating behaviour was divided into the well-known initial phase, copula phase and postcopulatory mate guarding phase. An additional phase prior to the initial phase serves to recognize the female, the recognition phase. The mating behaviour is identical in the males of the Jamaica and Brazil populations of P. viguieri. A postcopulatory mate guarding phase is not found in these two groups. Here, we refute the hypothesis, that a postcopulatory mate guarding phase is found in taxa in which only adult males grasp adult females. The males of the Ruhr and Maryland populations differ from each other in their mating behaviour. Generally, the males of all four populations do not mate with fertilized females which are equally unattractive to the males, i.e., females mate only once in their lifetime to produce offspring. These results corroborate the view that the different populations of P. viguieri do not belong to a single cosmopolitan species. Zusammenfassung Das Kopulationsverhalten wurde an Vertretern aus vier Populationen von Phyllognathopus viguieri mit unterschiedlicher geographischer Herkunft mit Videoaufzeichnung untersucht. Die Tiere stammen aus dem Grundwasser der Ruhr (Langsamsandfilter) Deutschland (Ruhr-Population), aus Moospolstern im städtischen Wald von Rio de Janeiro, Brasilien (Brazil-Population), aus einem Komposthaufen in Bethesda, Maryland, USA (Maryland-Population) und aus einer Zisterne der Windsor Campbell farm, Jamaika (Jamaica-Population). Das Kopulationsverhalten kann in wie bereits bekannt Initialphase, Kopulaphase und Postkopulaphase eingeteilt werden. Während der Initialphase findet keine Balz statt. Als zusätzliche Phase findet vor der Initialphase eine Prüfphase statt, die dem Erkennen des Weibchens dient. Es konnte festgestellt werden, daß die Vertreter der vier Populationen sich in Bezug auf ihr Kopulationsverhalten voneinander unterscheiden. Das Kopulationsverhalten der Tiere aus Jamaika und Brasilien war identisch, sowohl die Dauer der einzelnen Phasen, als auch das Verhalten der einzelnen Versuchsindividuen. Bei ihnen trat keine Postkopulaphase auf. Bei den Tieren der Ruhr- und der Marylandpopulation trat eine Postkopulaphase von unterschiedlicher Dauer auf. Auch das Fortpflanzungsverhalten der Männchen war unterschiedlich. Die in der Literatur vertretene Hypothese, dass bei Taxa, in denen die Männchen nur adulte Weibchen greifen, eine Postkopulaphase vorkommt, wird in dieser Studie widerlegt. Die Weibchen kopulieren nur einmal in ihrem Leben, was für ihre gesamte Reproduktion ausreichend ist. Männchen kopulieren in der Regel nicht mit bereits begatteten Weibchen. Bereits begattete Weibchen zeigen ein Abwehrverhalten, um die Männchen an der Anheftung der Spermatophore zu hindern. Die Spermatophore wird ohne Hilfe der Schwimmbeine übertragen. Die Befestigung der Spermatophore am Genitalfeld des Weibchens geschieht mit einer Kittsubstanz, die vom Männchen abgegeben wird. Die Individuen der Ruhr- und der Marylandpopulation zeigen trotz einer bei beiden vorkommenden Postkopulaphase unterschiedliches Fortpflanzungsverhalten. Wir schließen daraus, dass sie unterschiedlichen biologischen Arten angehören. Die Individuen der Jamaika- und Brazil-Populationen sind einer Art zuzuordnen, die sich von diesen beiden Arten unterscheidet. Die in dieser Arbeit gemachten Beobachtungen sind eine Bestätigung dafür, dass P. viguieri keine kosmopolitische Art ist, sondern dass es sich tatsächlich um eine Gruppe kryptischer valider Arten handelt. [source]

LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

MATHEMATICAL FINANCE, Issue 3 2007
Paul Glasserman
The measurement of portfolio credit risk focuses on rare but significant large-loss events. This paper investigates rare event asymptotics for the loss distribution in the widely used Gaussian copula model of portfolio credit risk. We establish logarithmic limits for the tail of the loss distribution in two limiting regimes. The first limit examines the tail of the loss distribution at increasingly high loss thresholds; the second limiting regime is based on letting the individual loss probabilities decrease toward zero. Both limits are also based on letting the size of the portfolio increase. Our analysis reveals a qualitative distinction between the two cases: in the rare-default regime, the tail of the loss distribution decreases exponentially, but in the large-threshold regime the decay is consistent with a power law. This indicates that the dependence between defaults imposed by the Gaussian copula is qualitatively different for portfolios of high-quality and lower-quality credits. [source]

The Use of Archimedean Copulas to Model Portfolio Allocations

Female multiple mating in wild and laboratory populations of the two-spot ladybird, Adalia bipunctata

MOLECULAR ECOLOGY, Issue 13 2008
PENELOPE R. HADDRILL
Abstract Female mating rate is an important variable for understanding the role of females in the evolution of mating systems. Polyandry influences patterns of sexual selection and has implications for sexual conflict over mating, as well as for wider issues such as patterns of gene flow and levels of genetic diversity. Despite this, remarkably few studies of insects have provided detailed estimates of polyandry in the wild. Here we combine behavioural and molecular genetic data to assess female mating frequency in wild populations of the two-spot ladybird, Adalia bipunctata (Coleoptera: Coccinellidae). We also explore patterns of sperm use in a controlled laboratory environment to examine how sperm from multiple males is used over time by females, to link mating with fertilization. We confirm that females are highly polyandrous in the wild, both in terms of population mating rates (~20% of the population found in copula at any given time) and the number of males siring offspring in a single clutch (three to four males, on average). These patterns are consistent across two study populations. Patterns of sperm use in the laboratory show that the number of mates does not exceed the number of fathers, suggesting that females have little postcopulatory influence on paternity. Instead, longer copulations result in higher paternity for males, probably due to the transfer of larger numbers of sperm in multiple spermatophores. Our results emphasize the importance of combining field and laboratory data to explore mating rates in the wild. [source]

Time Series Concepts for Conditional Distributions*

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 2003
Clive W. J. Granger
Abstract The paper asks the question , as time series analysis moves from consideration of conditional mean values and variances to unconditional distributions, do some of the familiar concepts devised for the first two moments continue to be helpful in the more general area? Most seem to generalize fairly easy, such as the concepts of breaks, seasonality, trends and regime switching. Forecasting is more difficult, as forecasts become distributions, as do forecast errors. Persistence can be defined and also common factors by using the idea of a copula. Aggregation is more difficult but causality and controllability can be defined. The study of the time series of quantiles becomes more relevant. [source]

TEMPORARY INTRINSICS AND RELATIVIZATION

PACIFIC PHILOSOPHICAL QUARTERLY, Issue 1 2010
M. ORESTE FIOCCO
Some have concluded that the only appropriate response to the problem of temporary intrinsics is the view that familiar, concrete objects persist through time by perduring, that is, by having temporal parts. Many, including myself, believe this view of persistence is false, and so reject this conclusion. However, the most common attempts to resolve the problem and yet defend the view that familiar, concrete objects endure are self-defeating. This has heretofore gone unnoticed. I consider the most familiar such attempts, based on a strategy called tensing the copula, and present a general argument to demonstrate why this strategy , and any strategy based on relativization, fails. I then show how the considerations raised in this general argument undermine other attempts to resolve the problem while denying perdurance. All these attempts are undermined by an assumption essential to the problem of temporary intrinsics, to wit, that there are many moments of time and all have the same ontological status. As long as this assumption is maintained, the only solution to the problem is that familiar, concrete objects perdure. Thus, in order to defend the view that objects persist through time by enduring, one must adopt a different metaphysics of time (viz., presentism). I conclude that it is neither unreasonable nor impracticable to do so. [source]

Sperm transfer during mating in the pharaoh's ant, Monomorium pharaonis

PHYSIOLOGICAL ENTOMOLOGY, Issue 3 2006
D. ALLARD
Abstract Sperm transfer in the pharaoh's ant Monomorium pharaonis (L.) is studied by making longitudinal sections through the gasters of mating pairs fixed in copula. Sperm is transferred inside a spermatophore similar to those found in two other ants, Diacamma sp. from Japan and Carebara vidua. Sharp teeth-ridges are present on the penis valves and, during copulation, these teeth make contact with a thick and soft cuticular layer covering the bursa copulatrix. This ensures an attachment long enough for the successful transfer of the spermatophore to the right position inside the female oviduct. The thick cuticle also protects the queen from serious damage by the male's sharp claspers. After a first successful copulation, sperm is still present inside the male's seminal vesicles, suggesting that males can mate multiply. Additional experiments, where single, initially virgin males are presented to several virgin females, confirm this. [source]

On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence

THE CANADIAN JOURNAL OF STATISTICS, Issue 4 2009
Noomen Ben Ghorbal
Abstract Ghoudi, Khoudraji & Rivest [The Canadian Journal of Statistics 1998;26:187,197] showed how to test whether the dependence structure of a pair of continuous random variables is characterized by an extreme-value copula. The test is based on a U -statistic whose finite- and large-sample variance are determined by the present authors. They propose estimates of this variance which they compare to the jackknife estimate of Ghoudi, Khoudraji & Rivest (1998) through simulations. They study the finite-sample and asymptotic power of the test under various alternatives. They illustrate their approach using financial and geological data. The Canadian Journal of Statistics © 2009 Statistical Society of Canada Ghoudi, Khoudraji & Rivest (1998) ont montré comment tester que la structure de dépendance d'un couple d'aléas continus est caractérisée par une copule de valeurs extrêmes. Le test s'appuie sur une U -statistique dont les auteurs déterminent ici la variance asymptotique et à taille finie. Ils proposent des estimations de cette variance qu'ils comparent à l'estimateur jackknife de Ghoudi, Khoudraji & Rivest (1998) à l'aide de simulations. Ils étudient les puissances à taille finie et asymptotique du test sous diverses contre-hypothèses. Ils illustrent leur propos avec des données financières et géologiques. La revue canadienne de statistique © 2009 Société statistique du Canada [source]

Projection estimators of Pickands dependence functions

THE CANADIAN JOURNAL OF STATISTICS, Issue 3 2008
Amélie Fils-Villetard
Abstract The authors consider the construction of intrinsic estimators for the Pickands dependence function of an extreme-value copula. They show how an arbitrary initial estimator can be modified to satisfy the required shape constraints. Their solution consists in projecting this estimator in the space of Pickands functions, which forms a closed and convex subset of a Hilbert space. As the solution is not explicit, they replace this functional parameter space by a sieve of finite-dimensional subsets. They establish the asymptotic distribution of the projection estimator and its finite-dimensional approximations, from which they conclude that the projected estimator is at least as efficient as the initial one. Estimation par projection de la fonction de dépendance de Pickands Les auteurs s'intéressent à la construction d'estimateurs intrinsèques de la fonction de dépendance de Pickands d'une copule des valeurs extrêmes. Ils montrent comment un estimateur initial quelconque peut être modifié pour satisfaire les contraintes de forme voulues. Leur solution consiste à projeter cet estimateur dans l'espace des fonctions de Pickands, qui forme un sous-ensemble convexe fermé d'un espace de Hilbert. Comme la solution n'est pas explicite, ils remplacent cet espace paramétrique fonctionnel par une succession d'approximations de dimension finie. Ils établissent la distribution asymptotique de la projection de l'estimateur et de ses approximations de dimension finie, ce qui leur permet de conclure que l'estimateur projeté est au moins aussi efficace que l'estimateur initial. [source]

A bayesian estimator for the dependence function of a bivariate extreme-value distribution

THE CANADIAN JOURNAL OF STATISTICS, Issue 3 2008
Simon Guillotte
Abstract Any continuous bivariate distribution can be expressed in terms of its margins and a unique copula. In the case of extreme-value distributions, the copula is characterized by a dependence function while each margin depends on three parameters. The authors propose a Bayesian approach for the simultaneous estimation of the dependence function and the parameters defining the margins. They describe a nonparametric model for the dependence function and a reversible jump Markov chain Monte Carlo algorithm for the computation of the Bayesian estimator. They show through simulations that their estimator has a smaller mean integrated squared error than classical nonparametric estimators, especially in small samples. They illustrate their approach on a hydrological data set. Un estimateur bayésien de la fonction de dépendance d'une loi des valeurs extrêmes bivariée Toute loi bivariée continue peut s'écrire en fonction de ses marges et d'une copule unique. Dans le cas des lois des valeurs extrêmes, la copule est caractérisée par une fonction de dépendance tandis que chaque marge dépend de trois paramètres. Les auteurs proposent une approche bayésienne pour l'estimation simultanée de la fonction de dépendance et des paramètres définissant les marges. Ils décrivent un modèle non paramétrique pour la fonction de dépendance et un algorithme MCMC à sauts réversibles pour le calcul de l'estimateur bayésien. Ils montrent par simulation que l'erreur quadratique moyenne intégrée de leur estimateur est plus faible que celle des estimateurs classiques, surtout dans de petits échantillons. Ils illustrent leur propos à l'aide de données hydrologiques. [source]

A copula-based regime-switching GARCH model for optimal futures hedging

THE JOURNAL OF FUTURES MARKETS, Issue 10 2009
Hsiang-Tai LeeArticle first published online: 27 JUL 200
The article develops a regime-switching Gumbel,Clayton (RSGC) copula GARCH model for optimal futures hedging. There are three major contributions of RSGC. First, the dependence of spot and futures return series in RSGC is modeled using switching copula instead of assuming bivariate normality. Second, RSGC adopts an independent switching Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process to avoid the path-dependency problem. Third, based on the assumption of independent switching, a formula is derived for calculating the minimum variance hedge ratio. Empirical investigation in agricultural commodity markets reveals that RSGC provides good out-of-sample hedging effectiveness, illustrating importance of modeling regime shift and asymmetric dependence for futures hedging. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:946,972, 2009 [source]

Dynamic hedging with futures: A copula-based GARCH model

THE JOURNAL OF FUTURES MARKETS, Issue 11 2008
Chih-Chiang Hsu
In a number of earlier studies it has been demonstrated that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this study the authors propose a class of new copula-based GARCH models for the estimation of the optimal hedge ratio and compare their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GARCH, and the dynamic conditional correlation (DCC) GARCH models. With regard to the reduction of variance in the returns of hedged portfolios, the empirical results show that in both the in-sample and out-of-sample tests, with full flexibility in the distribution specifications, the copula-based GARCH models perform more effectively than other dynamic hedging models. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1095,1116, 2008 [source]

Utility-Based Optimization of Combination Therapy Using Ordinal Toxicity and Efficacy in Phase I/II Trials

BIOMETRICS, Issue 2 2010
Nadine Houede
Summary An outcome-adaptive Bayesian design is proposed for choosing the optimal dose pair of a chemotherapeutic agent and a biological agent used in combination in a phase I/II clinical trial. Patient outcome is characterized as a vector of two ordinal variables accounting for toxicity and treatment efficacy. A generalization of the Aranda-Ordaz model (1981,,Biometrika,68, 357,363) is used for the marginal outcome probabilities as functions of a dose pair, and a Gaussian copula is assumed to obtain joint distributions. Numerical utilities of all elementary patient outcomes, allowing the possibility that efficacy is inevaluable due to severe toxicity, are obtained using an elicitation method aimed to establish consensus among the physicians planning the trial. For each successive patient cohort, a dose pair is chosen to maximize the posterior mean utility. The method is illustrated by a trial in bladder cancer, including simulation studies of the method's sensitivity to prior parameters, the numerical utilities, correlation between the outcomes, sample size, cohort size, and starting dose pair. [source]

Joint Regression Analysis of Correlated Data Using Gaussian Copulas

How Known Constructions Influence the Acquisition of Other Constructions: The German Passive and Future Constructions

COGNITIVE SCIENCE - A MULTIDISCIPLINARY JOURNAL, Issue 6 2006
Kirsten Abbot-Smith
Abstract This article suggests evidence for and reasons why prior acquisition may either facilitate or inhibit acquisition of a new construction. It investigates acquisition of the German passive and future constructions which contain a lexical verb with either the auxiliary sein "to be" or werden "to become", and are related through these to potential supporting constructions. We predicted that a supported construction should be acquired earlier, faster, and unusually rapidly. An inhibited construction should show an extended depressed usage. We analyzed a dense corpus of a German boy between 2;0 and 5;0. He acquired the sein- before the werden-passive. The former was supported by his prior acquisition of the sein copula, whereas the werden-passive itself supported one werden copula construction. He acquired the werden-future extremely slowly due to the hindrance of a semantically identical construction. These results fit with an emergentist approach in which apparently "sudden" acquisition is still due to gradual learning mechanisms. [source]