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Dissertations / Theses on the topic 'Copula be'

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Published: 4 June 2021

Last updated: 1 February 2022

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1

Juste, Didier Jérémie. "Trois essais sur les risques de credit micro et macro en microfinance et sur l'estimation hédonique du prix de la qualité des écoles." Thesis, Cergy-Pontoise, 2018. http://www.theses.fr/2018CERG0982.

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Au cours de ces vingt dernières années le secteur de la microfinance au niveau global a crû de manière exponentielle. Il a permis à des millions de personnes à faibles revenus et exclues du secteur de la finance traditionnelle, de mieux lisser leur consommation et d'investir pour améliorer leur bien-être. Cependant au cours de cette même période, le secteur de la microfinance a aussi été frappé par des crises de repaiement et un certain nombre d'institutions de microfinance (IMFs) ont vu leur taux de défaut augmenter de manière alarmante. Il est ainsi crucial d'avoir une connaissance approfond

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Blom, Joakim, and Joakim Wargclou. "Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634.

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Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. Although MPT has gained popularity over the years it has also been criticized for several theoretical and empirical shortcomings such as using variance as a measure of risk, measuring the dependence with linear correlation and assuming that returns are normall

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3

Azam, Kazim. "Copula methods in econometrics." Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/60167/.

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4

Augustine, Cecilia. "Pairs trading: a copula approach." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8532.

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Includes bibliographical references.<br>Pairs trading is an arbitrage strategy that involves identifying a pair of stocks known to move together historically and trading on them when relative mispricing occurs. The strategy involves shorting the overvalued stock and simultaneously going long on the undervalued stock and closing the positions once the prices have returned to fair values. The cointegration method and the distance method are the most common techniques used in pairs trading strategy. However under these methods, the measure of divergence between the stocks or the spread is assumed

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Nystedt, Gustav. "Scenario Creation for Stress Testing Using Copula Transformation." Thesis, Umeå universitet, Institutionen för fysik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160352.

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Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. A method based on multivariate t-distributions and copula-transformations applied to historical time series data, is proposed for constructing an independent scenario generator which sh

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6

Sjöberg, Anna. "The Use of the Copula in Non-Copula Constructions in the Languages of South Asia." Thesis, Uppsala universitet, Institutionen för lingvistik och filologi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-360512.

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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). It is found that the languages of South Asia appear to be more likely than the world-wide average to use the copula in non-copula constructions and that at least Munda, Dravidian and Indo-Aryan use it in the same way wi

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7

Gui, Wenhao. "Adaptive series estimators for copula densities." Tallahassee, Florida : Florida State University, 2009. http://etd.lib.fsu.edu/theses/available/etd-05072009-133639/.

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Thesis (Ph. D.)--Florida State University, 2009.<br>Advisor: Marten Wegkamp, Florida State University, College of Arts and Sciences, Dept. of Statistics. Title and description from dissertation home page (viewed on Oct. 5, 2009). Document formatted into pages; contains xi, 87 pages. Includes bibliographical references.

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8

PEREIRA, GUILHERME ARMANDO DE ALMEIDA. "COPULA MODELS FOR STREAMFLOW SCENARIO SIMULATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33720@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>PROGRAMA DE EXCELENCIA ACADEMICA<br>PROGRAMA DE DOUTORADO SANDUÍCHE NO EXTERIOR<br>Muitos dos modelos de simulação de cenários de vazões, necessários para o planejamento e operação de setores elétricos, são construídos sob hipóteses rígidas. Isto pode restringir sua capacidade de representar dependências não-lineares e\ou distribuições não usuais. Cópulas superam estas limitações. Elas possibilitam que o comportam

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9

Foscolo, Enrico <1983&gt. "Inference on copula-based correlation structures." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2011. http://amsdottorato.unibo.it/3373/.

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We propose an extension of the approach provided by Kluppelberg and Kuhn (2009) for inference on second-order structure moments. As in Kluppelberg and Kuhn (2009) we adopt a copula-based approach instead of assuming normal distribution for the variables, thus relaxing the equality in distribution assumption. A new copula-based estimator for structure moments is investigated. The methodology provided by Kluppelberg and Kuhn (2009) is also extended considering the copulas associated with the family of Eyraud-Farlie-Gumbel-Morgenstern distribution functions (Kotz, Balakrishnan, and Johnson, 2000,

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10

Gyamfi, Michael. "Modelling The Financial Market Using Copula." University of Akron / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=akron149601408369316.

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11

Lehmann, Christoph. "Modellierung der Abhängigkeitsstruktur von Ausfallkörben." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222546.

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Ein Ausfallkorb (Default Basket, Basket Default Swap, BDS) ist die Bündelung einer relativ geringen Anzahl einzelner Kreditpositionen. Der Sicherungsgeber (Investor) verpflichtet sich, den i-ten Forderungsausfall zu übernehmen und wird als ith-to-default-Käufer bezeichnet. Da es sich um die Bündelung einer relativ geringen Anzahl von, möglicherweise sehr heterogenen Kreditpositionen handelt, lassen sich herkömmliche Modellierungsansätze aus dem Kreditrisiko nicht direkt zur Risikobewertung anwenden. Der vorliegende Beitrag stellt deshalb Möglichkeiten vor, eine Risikobewertung für Ausfallkörbe

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12

Riqueros, Morante Jose Francisco Francisco. "Una Propuesta de Analisis para las Oraciones Copulativas en Espanol." Thesis, The University of Arizona, 2007. http://hdl.handle.net/10150/193293.

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La distinción entre copulativas ecuativas (p.e. Ana es la única mujer) y predicativas (p.e. Ana es una mujer) se basa en criterios sintácticos. En las ecuativas, la concordancia de género entre el sujeto y el complemento no es obligatoria (p.e. Pepe era la chica de azul sentada allá) y éste se reemplaza por un pronombre nominativo (p.e. Pepe es el chico sentado allá/Pepe es él). En las predicativas, la concordancia de género y número entre el sujeto y el complemento, aparentemente, es obligatoria (p.e. Ana es linda/*-o,*-as,*-os) y éste se reemplaza por el indeclinable lo (p.e. Ana lo/*ella/*l

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13

Patton, Andrew John. "Applications of copula theory in financial econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3049666.

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14

Schulz, Martin. "Performance-Messung und Copula-Funktionen : eine Synthese /." Berlin : Dissertation.de, 2008. http://d-nb.info/990324400/04.

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15

Alotaibi, Ahmad S. "The copula in Arabic : description and analysis." Thesis, University of Essex, 2018. http://repository.essex.ac.uk/21096/.

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This thesis provides a description and analysis of the copula in Arabic. More precisely, it concerns the copula in Modern Standard Arabic (MSA). First, the thesis describes the copula syntactically. This includes defining the copula in Arabic, stating strategies used to form copular sentences, indicating possible complements of the copula and clarifying contexts in which the copula is absent. Second, the thesis classifies copular sentences in MSA into four types: equational sentences, predicational sentences, specificational sentences and identificational sentences. However, it concludes that

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16

Bredeby, Rickard. "Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168200.

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In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. This thesis explains how to use this method in practice and investigates its performance in different investment situations. The method is tested on three portfolios, each showing some

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17

MEJLACHOWICZ, SHEILA. "A SEMANTIC-ASPECTUAL ANALYSIS ABOUT COPULA (LINKING-VERBS)." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3973@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Esta pesquisa propõe uma nova forma de análise dos verbos de ligação em Língua Portuguesa. A Gramática Tradicional considera que este grupo de verbos possui apenas uma função sintática, sem atenção ao seu significado. Na verdade, os verbos de ligação e seus complementos constituem uma expressão por si só significativa. Esta característica nos permite compará-los aos verbos-suporte, já que eles têm o mesmo tipo de comportamento.<br>This research proposes a new way of analising verbos de ligação (copulae) in Portuguese. Tradi

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18

Crass, Joachim, Girma A. Demeke, Ronny Meyer, and Andreas Wetter. "Copula and focus constructions in selected Ethiopian languages." Universität Leipzig, 2005. https://ul.qucosa.de/id/qucosa%3A33607.

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The major aim of this work is to give an overview of present tense copula constructions in selected Semitic and Cushitic languages spoken in Ethiopia. In particular, we deal with languages spoken in the central parts of the country, namely Gurage languages of different genetic affiliations, Wellegga Oromo and K’abeena. In addition we discuss data from Ge’ez, Tigre, Tigrinya, Argobba, Amharic and Harari.

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19

Coia, Vincenzo. "Forecasting of nonlinear extreme quantiles using copula models." Thesis, University of British Columbia, 2017. http://hdl.handle.net/2429/60671.

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Forecasts of extreme events are useful in order to prepare for disaster. Such forecasts are usefully communicated as an upper quantile function, and in the presence of predictors, can be estimated using quantile regression techniques. This dissertation proposes methodology that seeks to produce forecasts that (1) are consistent in the sense that the quantile functions are valid (non-decreasing); (2) are flexible enough to capture the dependence between the predictors and the response; and (3) can reliably extrapolate into the tail of the upper quantile function. To address these goals, a famil

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20

Lennon, Hannah. "Gaussian copula modelling for integer-valued time series." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/gaussian-copula-modelling-for-integervalued-time-series(fff45515-19a4-4063-8ad2-4f9aac4017cb).html.

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This thesis is concerned with the modelling of integer-valued time series. The data naturally occurs in various areas whenever a number of events are observed over time. The model considered in this study consists of a Gaussian copula with autoregressive-moving average (ARMA) dependence and discrete margins that can be specified, unspecified, with or without covariates. It can be interpreted as a 'digitised' ARMA model. An ARMA model is used for the latent process so that well-established methods in time series analysis can be used. Still the computation of the log-likelihood poses many proble

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Coblenz, Maximilian [Verfasser], and O. [Akademischer Betreuer] Grothe. "Advances in Dependence Modeling: Multivariate Quantiles, Copula Level Curve Lengths, and Non-Simplified Vine Copulas / Maximilian Coblenz ; Betreuer: O. Grothe." Karlsruhe : KIT-Bibliothek, 2018. http://d-nb.info/1174252022/34.

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Liero, Hannelore. "A Note on : testing the Copula Based on Densities." Universität Potsdam, 2006. http://opus.kobv.de/ubp/volltexte/2011/4939/.

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We consider the problem of testing whether the density of a mul- tivariate random variable can be expressed by a prespecified copula function and the marginal densities. The proposed test procedure is based on the asymptotic normality of the properly standardized integrated squared distance between a multivariate kernel density estimator and an estimator of its expectation under the hypothesis. The test of independence is a special case of this approach.

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Hakwa, Wemaguela Brice [Verfasser]. "Modeling Systemic Risk Contribution Using Copula / Brice Hakwa Wemaguela." Wuppertal : Universitätsbibliothek Wuppertal, 2017. http://d-nb.info/1124478671/34.

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Murphy, Orla. "Copula-based tests of independence for bivariate discrete data." Thesis, McGill University, 2013. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=117229.

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New statistics are proposed for testing the hypothesis that two non-continuous random variables are independent. These statistics, which lead to consistent tests, are Cramér–von Mises and Kolmogorov–Smirnov type functionals of the checkerboard copula. The power of the new tests is compared via simulation to those based on the Pearson chi-squared, likelihood ratio, and Zelterman statistics often used in this context. To study their power, data are generated from five families of bivariate distributions whose margins may be known or not. In all cases considered, the new tests are seen to be more

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Nævestad, Markus. "Multivariate Distributions Through Pair-Copula Construction: Theory and Applications." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2009. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9846.

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<p>It is often very difficult, particularly in higher dimensions, to find a good multivariate model that describes both marginal behavior and dependence structure of data efficiently. The copula approach to multivariate models has been found to fit this purpose particularly well, and since it is a relatively new concept in statistical modeling, it is under frequent development. In this thesis we focus on the decomposition of a multivariate model into pairwise copulas rather than the usual multivariate copula approach. We account for the theory behind the decomposition of a multivariate mode

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Carta, Alessandro. "Copula functions and application to multivariate stochastic frontier models." Thesis, University of Warwick, 2012. http://wrap.warwick.ac.uk/54467/.

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Copula functions represent a statistical methodology that has recently attracted a lot of attention in different fields of applications such as finance, economics, microeconomics and etc. Copulas are mainly known to have the ability to disentangle a multivariate distributions in two components: dependence and marginal functions. In this Thesis we apply this statistical tool to elaborate a multivariate stochastic frontier model, with the purpose of estimating the inefficiency term of economic units, producing more than one output. The proposed model is compared with the previous multivariate mo

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Paul, Kellie L. "The relationship between increased copula usage and auxiliary generalization /." abstract and full text PDF (UNR users only), 2000. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1401235.

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Wyszynski, K. "Semi-parametric copula sample selection models for count responses." Thesis, University College London (University of London), 2016. http://discovery.ucl.ac.uk/1489699/.

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Non-random sample selection arises when observations do not come from a random sample. Instead, individuals select themselves into (or out of) the sample on the basis of observed and unobserved characteristics. In this case, estimates obtained using standard methods such as linear or logistic regression will be biased and inconsistent. This problem can be addressed using sample selection models. In the methodological literature a lot of attention has been given to sample selection models with continuous response. At the same time, not much work has been attributed to sample selection models wi

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Furumoto, Makoto. "On the copula in the Kikae dialect of Swahili." Swahili Forum 22 (2015), S. 20-41, 2015. https://ul.qucosa.de/id/qucosa%3A14605.

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The Kikae dialect is a regional variety of Swahili spoken in the southern part of Unguja, the largest island of the Zanzibar archipelago. In this dialect, the morpheme -wa preceded by a subject prefix, which agrees with the subject in person or noun class, is used as a copula. This form is used in neither Standard Swahili nor the Kiunguja dialect considered prestigious dialects of Swahili. In this paper, I describe the morphological and semantic characteristics of this copula, which have not been observed in previous studies, and propose a possible grammaticalisation path of the copula based o

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Ljung, Carl. "Copula selection and parameter estimation in market risk models." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-204420.

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In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. Historical data of equity indices and government bond rates from several geo-graphical regions along with U.S. corporate bond indices are used as proxies of the most significant stochastic variables in the investment portfolio of If P&C. These historical observations are transformed into pseudo-uniform observations, pseudo-observations

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Furumoto, Makoto. "On the copula in the Kikae dialect of Swahili." Universitätsbibliothek Leipzig, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-199679.

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The Kikae dialect is a regional variety of Swahili spoken in the southern part of Unguja, the largest island of the Zanzibar archipelago. In this dialect, the morpheme -wa preceded by a subject prefix, which agrees with the subject in person or noun class, is used as a copula. This form is used in neither Standard Swahili nor the Kiunguja dialect considered prestigious dialects of Swahili. In this paper, I describe the morphological and semantic characteristics of this copula, which have not been observed in previous studies, and propose a possible grammaticalisation path of the copula based o

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32

Hidalgo, Valencia Mariel. "“ESTUDIO SOBRE LA INOPERANCIA Y DEROGACIÓN DEL DELITO DE ESTUPRO EN EL ESTADO DE MÉXICO”." Tesis de Licenciatura, Universidad Autónoma del Estado de México, 2014. http://hdl.handle.net/20.500.11799/66833.

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El presente trabajo de investigación es referente al Delito de Estupro en el Estado de México, el cual se encuentra en el Libro Segundo, Titulo Tercero “Delitos contra las Personas”, Subtitulo Cuarto “Delitos Contra la Libertad Sexual, Capitulo III “Estupro”, artículos 271 y 272 del Código Penal del Estado de México. Es a partir del siglo del siglo XVI, cuando el ilícito estudiado se limitó a ser concebido como el yacimiento carnal con una mujer virgen o doncella mediante el uso de engaño o seducción. Y las reformas a este delito, han sido pocas.

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Malgrat, Maxime. "Pricing of a “worst of” option using a Copula method." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-132194.

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In this thesis, we use a Copula Method in order to price basket options and especially “worst of” options. The dependence structure of the underlying assets will be modeled using different families of copulas. The copulas parameters are estimated via the Maximum Likelihood Method from a sample of observed daily returns. The Monte Carlo method will be revisited when it comes to generate underlying assets daily returns from the fitted copula. Two baskets are priced: one composed of two correlated assets and one composed of two uncorrelated assets. The obtained prices are then compared with the p

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Mroz, Magda [Verfasser]. "Time-varying copula models for financial time series / Magda Mroz." Ulm : Universität Ulm. Fakultät für Mathematik und Wirtschaftswissenschaften, 2012. http://d-nb.info/1027341578/34.

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Köck, Christian. "Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung /." Aachen : Shaker, 2008. http://d-nb.info/988687313/04.

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Bostock, Lee Anthony. "Modelling portfolio credit derivatives within the default-time copula framework." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413710.

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Acar, Elif Fidan. "Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas." Thesis, 2010. http://hdl.handle.net/1807/25916.

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The primary aim of this thesis is the elucidation of covariate effects on the dependence structure of random variables in bivariate or multivariate models. We develop a unified approach via a conditional copula model in which the copula is parametric and its parameter varies as the covariate. We propose a nonparametric procedure based on local likelihood to estimate the functional relationship between the copula parameter and the covariate, derive the asymptotic properties of the proposed estimator and outline the construction of pointwise confidence intervals. We also contribute a novel cond

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Twu, Jih_Ying, and 涂紀瑩. "Evaluation of CDO, comparison of normal copula and t copula." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/47851245598671934554.

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碩士<br>國立臺灣大學<br>經濟學研究所<br>92<br>This thesis is going to give you a glance of collateral debt obligation (CDO), some credit derivative. In the following chapters, we will introduce you what CDO is, the evolution of CDO product, why CDO is popular nowadays, and how to evaluate CDO product. We compare two different results of CDO evaluating, normal copula and t copula and found that t copula is more suitable in pricing CDO. T copula can catch extreme event more easily. Finally, we introduce the first synthetic CDO in Taiwan, Silk road issued by Fubon Security.

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Lee, Han-Yang, and 李翰揚. "Application of t copula and skew t copula function in risk management." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/64337841368312028910.

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Ng, Eddie Kai Ho. "Kernel-based Copula Processes." Thesis, 2010. http://hdl.handle.net/1807/26311.

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The field of time-series analysis has made important contributions to a wide spectrum of applications such as tide-level studies in hydrology, natural resource prospecting in geo-statistics, speech recognition, weather forecasting, financial trading, and economic forecasts and analysis. Nevertheless, the analysis of the non-Gaussian and non-stationary features of time-series remains challenging for the current state-of-art models. This thesis proposes an innovative framework that leverages the theory of copula, combined with a probabilistic framework from the machine learning community, to pr

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Pham, David. "Densités de copules archimédiennes hiérarchiques." Thèse, 2012. http://hdl.handle.net/1866/8529.

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Les copulas archimédiennes hiérarchiques ont récemment gagné en intérêt puisqu’elles généralisent la famille de copules archimédiennes, car elles introduisent une asymétrie partielle. Des algorithmes d’échantillonnages et des méthodes ont largement été développés pour de telles copules. Néanmoins, concernant l’estimation par maximum de vraisemblance et les tests d’adéquations, il est important d’avoir à disposition la densité de ces variables aléatoires. Ce travail remplie ce manque. Après une courte introduction aux copules et aux copules archimédiennes hiérarchiques, une équation générale su

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Fang, Yan. "Extensions to Gaussian copula models." Thesis, 2012. http://hdl.handle.net/1957/29482.

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A copula is the representation of a multivariate distribution. Copulas are used to model multivariate data in many fields. Recent developments include copula models for spatial data and for discrete marginals. We will present a new methodological approach for modeling discrete spatial processes and for predicting the process at unobserved locations. We employ Bayesian methodology for both estimation and prediction. Comparisons between the new method and Generalized Additive Model (GAM) are done to test the performance of the prediction. Although there exists a large variety of copula functio

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Ghosh, Souparno. "Copula Based Hierarchical Bayesian Models." 2009. http://hdl.handle.net/1969.1/ETD-TAMU-2009-08-7160.

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The main objective of our study is to employ copula methodology to develop Bayesian hierarchical models to study the dependencies exhibited by temporal, spatial and spatio-temporal processes. We develop hierarchical models for both discrete and continuous outcomes. In doing so we expect to address the dearth of copula based Bayesian hierarchical models to study hydro-meteorological events and other physical processes yielding discrete responses. First, we present Bayesian methods of analysis for longitudinal binary outcomes using Generalized Linear Mixed models (GLMM). We allow flexible margin

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Inoue, Aya. "Copula variability in Hawai'i Creole." Thesis, 2008. http://hdl.handle.net/10125/20679.

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Thesis (Ph.D.)--University of Hawaii at Manoa, 2008.<br>Finally, regarding the debate over the Creole Hypothesis, although HC does not share common substrate languages with Caribbean English-lexified creoles, the same hierarchical ordering (_gonna > _V+ ing > _Loc > _Adj > NP) is robustly found in HC. The HC data suggests that the explanation for this hierarchy argued for by some proponents of the Creole Hypothesis, that the presence of a creole copula in a certain environment leads to a low rate of copula absence in the decreolizing variety, does not work for HC data.<br>Second, three lect gr

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Chen, Yen-Chun, and 陳彥鈞. "Copula-Based Weather Data Forecasting." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/50317750299424815496.

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碩士<br>國立中央大學<br>統計研究所<br>100<br>Because of the rapid development of weather derivatives, models for daily average temperature have been extensively studied in the literature. citet{dat} provide a time series model with a GARCH model for the volatility to describe the features for modelling daily average temperature in U.S. cities. Motivated by Campbell and Diebold (2005), we apply this model in Asian cities and use trivariate fully nested Archimedean Gumbel and Clayton copula to describe the dependence structure for the error distribution. To show the superiority of our model, we construct th

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Lin, Chien-Wei, and 林建威. "Model Diagnostics for Archimedean Copula Models." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/97941050612703338879.

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碩士<br>國立交通大學<br>統計學研究所<br>95<br>In the thesis, we propose a model diagnostic approach to selecting an Archimedean Copula (AC) model based on right censored data. The proposed method extends the idea of Shih (Biometrika, 1998), who considered the Clayton model, to a larger class of models, namely the AC family. We also propose a new algorithm for generating a model from the AC family. Simulation results are provided to examine finite-sample performances of the proposed method.

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Wu, Po-Chang, and 吳柏樟. "Pricing CDO with Factor Copula Method." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/03201558833773486667.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>In recently years, credit derivatives become more and more popular. Collateralized Debt Obligation is one of the credit derivatives and the trading volumes are growing fast. CDO is backed by a pool of portfolio and then tranched. When pricing CDO, it is an important thing that gets the correlation amount the portfolio that consists lots kind of assets. Copula method is one of the most efficient way to solve this problem. In this paper, we provide factor copula to price the premium of CDO. By comparing many types of factor copula, we want to find out which ty

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"Portfolio selection using Archimedean copula methods." Thesis, 2012. http://hdl.handle.net/10210/4965.

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M.Comm.<br>This study analyzes the effect of the subprime crisis on portfolio allocation from the perspective of dependence structure. Empirical evidence has proved that the multivariate normal distribution is inadequate to model portfolio asset return distribution - firstly because the empirical marginal distributions of asset returns are skewed and fat tailed; and secondly because it does not consider the possibility of extreme joint co-movement of asset returns (Fama and French, 1993; Richardson and Smith, 1993; Géczy, 1998; Longin and Solnik, 2001; Mashal and Zeevi, 2002). This study emplo

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Cai, Wan-Ling, and 蔡宛玲. "Exporing the robustness of copula models." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/89109627718260372503.

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碩士<br>國立中央大學<br>統計研究所<br>99<br>In recent years, copula models have become a popular method for modeling correlated data, and have been widely applied in many field of studies. Although one can use the copula models to construct multivariate distribution easily, there is no research discussing the robustness of copula models so far. The purpose of this thesis is to investigate the robustness property of the copula models under model misspecifications. We also compare copula models with the multivariate negative binomial model.

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Chu, Chen Yu, and 陳鈺筑. "Applying Dynamic Copula Functions For Futures Hedging." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/15235607386210064645.

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碩士<br>國立彰化師範大學<br>企業管理學系<br>100<br>Traditional time series are not able to handle non-symmetric correlations and Copula is the strongest and most flexible to deal with asymmetric dependences now. Using Copula to construct non-symmetric correlation and time-varying structure of dependency and more importantly and time-varying copula methods are dynamic and not fixed every time. This paper employs dynamic copulas to model the time-varying dependence structure among the oil and US stock market and gold and perform hedging with the new model and improved traditional hedging methods to find the rig

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