Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)
A Kalbaska, M Gątkowski - Journal of Economic Behavior & Organization, 2012 - Elsevier
This paper analyses the dynamics of the credit default swap (CDS) market of PIIGS, France,
Germany and the UK for the period of 2005–2010. The study is performed on the basis of the …
Germany and the UK for the period of 2005–2010. The study is performed on the basis of the …
[HTML][HTML] Pairs trading: A copula approach
RQ Liew, Y Wu - Journal of Derivatives & Hedge Funds, 2013 - Springer
Pairs trading is a technique that is widely practiced in the financial industry. Its relevance has
been constantly tested with updated samples, and its profitability is acknowledged among …
been constantly tested with updated samples, and its profitability is acknowledged among …
[HTML][HTML] Stochastic modeling and analysis of multiple nonlinear accelerated degradation processes through information fusion
Accelerated degradation testing (ADT) is an efficient technique for evaluating the lifetime of
a highly reliable product whose underlying failure process may be traced by the degradation …
a highly reliable product whose underlying failure process may be traced by the degradation …
Who needs hedge funds? A copula-based approach to hedge fund return replication
HM Kat, HP Palaro - A Copula-Based Approach to Hedge Fund …, 2005 - papers.ssrn.com
In this paper we develop and demonstrate the workings of a copula-based technique that
allows the derivation of dynamic trading strategies, which generate returns with statistical …
allows the derivation of dynamic trading strategies, which generate returns with statistical …
[HTML][HTML] A copula entropy approach to dependence measurement for multiple degradation processes
Degradation analysis has been widely used in reliability modeling problems of complex
systems. A system with complex structure and various functions may have multiple …
systems. A system with complex structure and various functions may have multiple …
Remaining useful life prediction for bivariate deteriorating systems under dynamic operational conditions
The existing studies on degradation modeling and remaining useful life (RUL) prediction
have typically been conducted on the basis of the following two assumptions: one is the …
have typically been conducted on the basis of the following two assumptions: one is the …
Measurement and modelling of dependencies in economic capital
RA Shaw, AD Smith, GS Spivak - British Actuarial Journal, 2011 - cambridge.org
This paper covers a number of different topics related to the measurement and modelling of
dependency within economic capital models. The scope of the paper is relatively wide. We …
dependency within economic capital models. The scope of the paper is relatively wide. We …
A time-varying copula-based prognostics method for bivariate accelerated degradation testing
Accelerated degradation testing (ADT) has been widely used to accelerate
failure/degradation processes and to quickly evaluate the reliability and lifetime of products …
failure/degradation processes and to quickly evaluate the reliability and lifetime of products …
[BOOK][B] The Principles of alternative investments management: a study of the global market
E Sokołowska - 2015 - books.google.com
The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …
management. The individual chapters provide a detailed analysis of various classes of …
Bernstein copula modeling for 2D discrete fracture network simulations
In many naturally fractured reservoirs, fractures play a crucial role in their flow and transport
properties. An approach that has recently gained popularity for modeling fracture systems is …
properties. An approach that has recently gained popularity for modeling fracture systems is …