41 documents matched the search for copules in titles and keywords.
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111213141
Prévision avec des copules en finance,
Arthur Charpentier,
from HAL
(2015)
Keywords: copules,GARCH,prévision,séries temporelles,finance,pétrole
Analyse de dépendance d'actifs financiers par la méthode des copules,
Nicolas Champagnat, Madalina Deaconu, Antoine Lejay and Akram Bedoui,
from HAL
(2015)
Keywords: heavy tail,Student distribution,copule
Copuling population dynamics and diel migration patterns,
Frølich, Emil F.,
in Theoretical Population Biology
(2023)
Keywords: Diel vertical migration; Mean-field games; Predator–prey; Ideal free distribution;
VaR Methodology for Non-Gaussian Finance,
Marine Corlosquet-Habart, Jacques Janssen and Raimondo Manca,
from HAL
(2013)
Keywords: Value at risk,Copule,Solvency II
Estimation de la tail dependance à l'aide de la notion de copule,
Dominique Guegan and Sophie A. Ladoucette,
from HAL
(2003)
Keywords: Copula,Tail behaviour,estimation theory.,estimation theory
An Econometric Study of Vine Copulas,
Dominique Guegan and Pierre-André Maugis,
from HAL
(2010)
Keywords: copules multivariées,gestion des risques.,Vines,multivariate copulas,risk management.
An Econometric Study of Vine Copulas,
Dominique Guegan and Pierre-André Maugis,
from HAL
(2010)
Keywords: copules multivariées,gestion des risques.,Vines,multivariate copulas,risk management.
Operational risk: A Basel II++ step before Basel III,
Dominique Guegan and Bertrand Hassani,
from HAL
(2011)
Keywords: Bâle II,risque opérationnel,copules,Basel II,operational risks,EVT,copula
Empirical Projected Copula Process and Conditional Independence An Extended Version,
Lorenzo Frattarolo and Dominique Guegan,
from HAL
(2013)
Keywords: Conditional independence,empirical process,weak convergence,copula,Indépendance conditionnelle,processus empiriques,convergence faible,copule
Operational risk: A Basel II++ step before Basel III,
Dominique Guegan and Bertrand Hassani,
from HAL
(2011)
Keywords: Bâle II,risque opérationnel,copules,Basel II,operational risks,EVT,copula
Empirical Projected Copula Process and Conditional Independence An Extended Version,
Lorenzo Frattarolo and Dominique Guegan,
from HAL
(2013)
Keywords: Conditional independence,empirical process,weak convergence,copula,Indépendance conditionnelle,processus empiriques,convergence faible,copule
La persistance dans les marchés financiers,
Dominique Guegan,
from HAL
(2007)
Keywords: Persistance,Marchés financiers,processus de Gegenbauer,Copules,Risques Financiers.,Risques Financiers
Parametric optimization-based peer-to-peer energy trading among commercial buildings considering multiple energy conversion,
Heng Zhang, Shenxi Zhang, Xiao Hu, Haozhong Cheng, Qingfa Gu and Mengke Du,
in Applied Energy
(2022)
Keywords: Peer-to-peer; Buildings; Multi-energy copuling; Mixed-integer linear programming; Parametric optimization;
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach,
Dominique Guegan and Bertrand Hassani,
from HAL
(2012)
Keywords: VaR,nested structure,vine copula,loss distribution function,Operational risks,copules,distribution de perte,Risques opérationnels
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach,
Dominique Guegan and Bertrand Hassani,
from HAL
(2012)
Keywords: VaR,nested structure,vine copula,loss distribution function,Operational risks,copules,distribution de perte,Risques opérationnels
La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché,
François-Éric Racicot and Raymond Théoret,
from Département des sciences administratives, UQO
(2006)
Keywords: Ingénierie financière, simulation de Monte Carlo, banques, copules, transformée de Fourier.
New Prospects on Vines,
Dominique Guegan and Pierre-André Maugis,
from HAL
(2010)
Keywords: Vine copulas,multivariate copulas,model selection,VaR,Vines,Copules multivariées,Sélection de modèles
New Prospects on Vines,
Dominique Guegan and Pierre-André Maugis,
from HAL
(2010)
Keywords: Vine copulas,multivariate copulas,model selection,VaR,Vines,Copules multivariées,Sélection de modèles
Dépendance entre risques extrêmes: Application aux Hedge Funds,
Ranoua Bouchouicha,
from HAL
(2010)
Keywords: Dépendance de queue,copules,estimation paramétrique,estimation non paramétrique,estimation semi-paramétrique
La persistance dans les marchés financiers,
Dominique Guegan,
from HAL
(2007)
Keywords: Persistance,Marchés financiers,processus de Gegenbauer,Copules,Risques Financiers.,Risques Financiers
Operational risk: A Basel II++ step before Basel III,
Dominique Guegan and Bertrand Hassani,
from HAL
(2012)
Keywords: Operational risks,Loss Distribution Function,risk measures,EVT,Vine copula,Risque opérationnel,Distribution de perte,mesures de risques,copules
Operational risk: A Basel II++ step before Basel III,
Dominique Guegan and Bertrand Hassani,
from HAL
(2012)
Keywords: Operational risks,Loss Distribution Function,risk measures,EVT,Vine copula,Risque opérationnel,Distribution de perte,mesures de risques,copules
Operational risk: A Basel II++ step before Basel III,
Dominique Guegan and Bertrand Hassani,
from HAL
(2012)
Keywords: Operational risks,Loss Distribution Function,risk measures,EVT,Vine copula,Risque opérationnel,Distribution de perte,mesures de risques,copules
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices,
Dominique Guegan and Sophie A. Ladoucette,
from HAL
(2005)
Keywords: portfolio,multivariate extremes,Kendall's tau,estimation theory,Archimedean copulas,Copules archimédéennes,estimation Tau de Kendall,extrêmes multivariés,portefeuille,théorie de l'estimation
Global and local stationary modelling in finance: theory and empirical evidence,
Dominique Guegan,
from HAL
(2007)
Keywords: Non-stationarity,distribution function,copula,long-memory,switching,SETAR,Stopbreak models,fonction de distribution,Non stationnarité,copule,processus longue mémoire,Commutation,Modèles StopBreak,Cumulants,Théorie de l'estimation
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market,
Dominique Guegan and Jing Zhang,
from HAL
(2007)
Keywords: Call-on-max option,GARCH process,generalized hyperbolic (GH) distribution,normal inverse Gaussian (NIG) distribution,copula,dynamic copula,Garch modèles,pricing d'options,distribution hyperbolique copules
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market,
Dominique Guegan and Jing Zhang,
from HAL
(2007)
Keywords: Call-on-max option,GARCH process,generalized hyperbolic (GH) distribution,normal inverse Gaussian (NIG) distribution,copula,dynamic copula,Garch modèles,pricing d'options,distribution hyperbolique copules
Liquidity and Equity Short term fragility: Stress-tests for the European banking system,
Guillaume Arnould, Catherine Bruneau and Zhun Peng,
from HAL
(2015)
Keywords: Stress-test,Financial Stability,Extreme Risks,Bank Balance Sheet,Systemic Risk,Copula,Risk factors,Stress-tests,stabilité financière,risques extrêmes,bilans bancaires,risque systémique,copules,facteurs de risque
Liquidity and Equity Short term fragility: Stress-tests for the European banking system,
Guillaume Arnould, Catherine Bruneau and Zhun Peng,
from HAL
(2015)
Keywords: Stress-test,Financial Stability,Extreme Risks,Bank Balance Sheet,Systemic Risk,Copula,Risk factors,Stress-tests,stabilité financière,risques extrêmes,bilans bancaires,risque systémique,copules,facteurs de risque
Global and local stationary modelling in finance: theory and empirical evidence,
Dominique Guegan,
from HAL
(2007)
Keywords: Non-stationarity,distribution function,copula,long-memory,switching,SETAR,Stopbreak models,fonction de distribution,Non stationnarité,copule,processus longue mémoire,Commutation,Modèles StopBreak,Cumulants,Théorie de l'estimation
Stress testing and financial risks,
Lyes Koliai,
from Paris Dauphine University
(2014)
Keywords: Stress tests; Scénario; Tve; Copules-Paires; Risque systémique; Gestion des risques; Inférence bayésienne; Stress testing; Scenario; Evt; Pair-Copulas; Systemic risk; Risk management; Bayesian inference;
Pricing bivariate option under GARCH processes with time-varying copula,
Jing Zhang and Dominique Guegan,
from HAL
(2008)
Keywords: time-varying parameter,Call-on-max option,GARCH process,Kendall's tau,Copula,Dynamic Copula,time-varying parameter.,Processus GARCH,Copules dynamiques,Call d'une option,Tau de Kendall,paramètre temps-variable.
Non-stationarity and meta-distribution,
Dominique Guegan,
from HAL
(2008)
Keywords: probability distribution function,non-stationarity,switching processes,SETAR processes,jumps,forecast,risk management,copula,non-stationnarité,processus à changements de régime,sauts,SETAR processus,management des risques,copules,PDF
Aggregation of Market Risks using Pair-Copulas,
Dominique Guegan and Fatima Jouad,
from HAL
(2012)
Keywords: diversification gains,Solvency II,risk aggregation,market risks,pair-copulas,economic capital,diversification gains.,risques de marché,paires de copules,Solvabilité II,agrégation des risques,capital économique,gains de diversification.
Pricing bivariate option under GARCH processes with time-varying copula,
Jing Zhang and Dominique Guegan,
from HAL
(2008)
Keywords: time-varying parameter,Call-on-max option,GARCH process,Kendall's tau,Copula,Dynamic Copula,time-varying parameter.,Processus GARCH,Copules dynamiques,Call d'une option,Tau de Kendall,paramètre temps-variable.
Non-stationarity and meta-distribution,
Dominique Guegan,
from HAL
(2008)
Keywords: probability distribution function,non-stationarity,switching processes,SETAR processes,jumps,forecast,risk management,copula,non-stationnarité,processus à changements de régime,sauts,SETAR processus,management des risques,copules,PDF
Aggregation of Market Risks using Pair-Copulas,
Dominique Guegan and Fatima Jouad,
from HAL
(2012)
Keywords: diversification gains,Solvency II,risk aggregation,market risks,pair-copulas,economic capital,diversification gains.,risques de marché,paires de copules,Solvabilité II,agrégation des risques,capital économique,gains de diversification.
Copula-based estimation of health concentration curves with an application to COVID-19,
Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti,
from CIRANO
(2022)
Keywords: Health concentration curve,Gini coeffcient, inequality,copula,semi/non-parametric estimators,COVID-19 infections and deaths, Courbe de concentration de la santé,coefficient de Gini,inégalité,copule,estimateurs semi-/non paramétriques,infections et décès COVID-19
Dependence Structure and Extreme Comovements in International Equity and Bond Markets,
René Garcia and Georges Tsafack,
from CIRANO
(2009)
Keywords: asymmetric correlation, asymmetric dependence, copula, tail dependence, GARCH, regime switching, home bias, flight to safety, corrélation asymétrique, dépendance asymétrique, copules, dépendance dans les queues, GARCH, changement de régime, surinvestissement dans des sociétés proches du domicile, fuite vers la sécurité
A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality,
Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti,
from CIRANO
(2009)
Keywords: Nonparametric tests, conditional independence, Granger non-causality, Bernstein density copula, bootstrap, finance, volatility asymmetry, leverage effect, volatility feedback effect, macroeconomics, tests non paramétriques, indépendance conditionnelle, non-causalité de Granger, copule de densité de Bernstein, bootstrap, finance, asymétrie de la volatilité, effet de levier, effet de rétroaction de la volatilité, macroéconomie.
Stress-Test Exercises and the Pricing of Very Long-Term Bonds,
Simon Dubecq,
from Paris Dauphine University
(2013)
Keywords: Choc; Copule; Risque Extrême; Tests de Résistance; Modèle à Facteur; Risque Systémique; Gestion de Portefeuille; Obligations Souveraines; Taux d’intérêt; Structure par Terme; Modèle Affine; Facteur Niveau; Facteur Pente; Distribution Stable; Taux de Long-Terme Stochastique; Absence d'arbitrage; Shock; Copula; Extreme Risk; Stress-Tests; Factor Model; Systemic Risk; Portfolio Management; Sovereign Bonds; Interest Rate; Term Structure; Affine Model; No Arbitrage; Level Factor; Slope Factor; Stable Distribution; Stochastic Long-Term Rate;
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