International Journal of Transport Economics / Rivista internazionale di economia dei trasporti, Vol. 38, No. 3 (OCTOBER 2011), pp. 337-362 (26 pages) In this paper, in the spirit of a tour-based ...

We propose a new archimedean copula model for bivariate survival data that is motivated by Dabrowska's (1988) measure of association. The model can represent negatively correlated or moderately ...

This study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market. Traditional ...

Covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence ...

Abstract: Many reliability models of systems with dependent components have been developed in order to assess the reliability of such systems. In particular, a copula that can build various ...

ABSTRACT: In this paper, we explore the dynamic relationship between exchange rates, natural gas, and crude oil prices using the wavelet vine copula approach. The vine copula method offers the ...

Abstract: Copulas are multivariate joint distributions of random variables with uniform marginal distributions. They have become increasingly important in statistical models in which the dependence ...