Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Forecasting"
DOI: 10.1002/for.2506
Abstract: We propose a new portfolio optimization method combining the merits of the shrinkage estimation (Jorion, 1985, 1986 and 1991), vine-copula structure (Aas and Berg, 2009), and Black-Litterman model (Black and Litterman, 1991 and 1992). It… read more here.
Keywords: asset allocation; asset; vine copula; shrinkage ... See more keywords
Vine copula models for predicting water flow discharge at King George Island, Antarctica
Sign Up to like & getrecommendations! Published in 2018 at "Stochastic Environmental Research and Risk Assessment"
DOI: 10.1007/s00477-018-1599-9
Abstract: In order to understand the behavior of the glaciers, their mass balance should be studied. The loss of water produced by melting, known as glacier discharge, is one of the components of this mass balance.… read more here.
Keywords: glacier discharge; vine copula; king george; discharge ... See more keywords
Quantifying effects of compound dry-hot extremes on vegetation in Xinjiang (China) using a vine-copula conditional probability model
Sign Up to like & getrecommendations! Published in 2021 at "Agricultural and Forest Meteorology"
DOI: 10.1016/j.agrformet.2021.108658
Abstract: Abstract Extreme events (e.g., drought and heatwave) occur frequently and intensively with climate change, where the combination of dry and hot events has catastrophic impacts on terrestrial ecosystems. It is challenged to quantitatively understand the… read more here.
Keywords: dry hot; hot events; probability; vine copula ... See more keywords
Nonlinear and Non-Gaussian Process Monitoring Based on Simplified R-Vine Copula
Sign Up to like & getrecommendations! Published in 2018 at "Industrial & Engineering Chemistry Research"
DOI: 10.1021/acs.iecr.8b00701
Abstract: In the field of chemical process monitoring, the vine copula model provides a new idea for describing the interdependence between high-dimensional complex variables, and directly characterizes the correlation without dimensional reduction. However, in actual industrial… read more here.
Keywords: vine; non gaussian; vine copula; based simplified ... See more keywords
Hamiltonian Monte Carlo-Based D-Vine Copula Regression Model for Soft Sensor Modeling of Complex Chemical Processes
Sign Up to like & getrecommendations! Published in 2020 at "Industrial & Engineering Chemistry Research"
DOI: 10.1021/acs.iecr.9b05370
Abstract: Nonlinear processes and non-Gaussian properties are challenging subjects for soft sensor modeling of chemical processes. In this paper, we propose a D-vine copula regression method based on a Hamiltonian Monte Carlo (HMC) sampling strategy (HMCCR).… read more here.
Keywords: soft sensor; regression; vine copula; method ... See more keywords
Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1705240
Abstract: ABSTRACT We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13… read more here.
Keywords: pair vine; risk; dependence; vine copula ... See more keywords
Vine copula models with GLM and sparsity
Sign Up to like & getrecommendations! Published in 2017 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2015.1122061
Abstract: ABSTRACT Vine copula provides a flexible tool to capture asymmetry in modeling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying… read more here.
Keywords: models glm; glm sparsity; vine copula; copula models ... See more keywords
Conditional dependence between oil price and stock prices of renewable energy: a vine copula approach
Sign Up to like & getrecommendations! Published in 2018 at "Economic and Political Studies"
DOI: 10.1080/20954816.2018.1463600
Abstract: Abstract The current paper focusses on the co-movement between oil prices and renewable energy stock markets in a multivariate framework. The vine copula approach that offers a great flexibility in conditional dependence modelling is used.… read more here.
Keywords: dependence; energy; vine copula; prices renewable ... See more keywords
C-Vine Copula Mixture Model for Clustering of Residential Electrical Load Pattern Data
Sign Up to like & getrecommendations! Published in 2017 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2016.2614366
Abstract: The ongoing deployment of residential smart meters in numerous jurisdictions has led to an influx of electricity consumption data. This information presents a valuable opportunity to suppliers for better understanding their customer base and designing… read more here.
Keywords: mixture model; vine copula; model clustering; copula mixture ... See more keywords
A time-heterogeneous D-vine copula model for unbalanced and unequally spaced longitudinal data.
Sign Up to like & getrecommendations! Published in 2022 at "Biometrics"
DOI: 10.1111/biom.13652
Abstract: In many longitudinal studies, the number and timing of measurements differ across study subjects. Statistical analysis of such data requires accounting for both the unbalanced study design and the unequal spacing of repeated measurements. This… read more here.
Keywords: time; vine copula; time heterogeneous; model ... See more keywords
Truncating Regular Vine Copula Based on Mutual Information: An Efficient Parsimonious Model for High-Dimensional Data
Sign Up to like & getrecommendations! Published in 2021 at "Mathematical Problems in Engineering"
DOI: 10.1155/2021/4347957
Abstract: Based on (different) bivariate copulas as simple building blocks to model complex multivariate dependency patterns, vine copulas provide flexible multivariate models. They, however, lose their flexibility with dimensions. Attempts have been existing to reduce the… read more here.
Keywords: mutual information; model; vine copula;