Rank; Copula; Nonparametric Estimation; Tail Dependence - Articles

Tail Dependence Study of SSE Composite Index and SZSE Component Index Based on the Copula (Articles)

Guohua Sun, Hongliu Su, Guoqiang Tang

Applied Mathematics Vol.4 No.7, July 11, 2013

DOI: 10.4236/am.2013.47145 4,814 Downloads 7,133 Views Citations
Modeling Wind Energy Using Copula (Articles)

Zuhair Bahraoui, Fatima Bahraoui, M. Amin Bahraoui

Open Access Library Journal Vol.5 No.11, November 30, 2018

DOI: 10.4236/oalib.1104984 546 Downloads 1,817 Views Citations
Measuring Dependence Risk of Funds with Copula in China (Articles)

Jiaqi Tang, Guohua Sun

Applied Mathematics Vol.5 No.13, July 7, 2014

DOI: 10.4236/am.2014.513179 3,213 Downloads 4,646 Views Citations
Optimization of Financial Asset Portfolio Using GARCH-EVT-Copula-CVaR Model (Articles)

Immaculate Ngina Kyalo, Cyprian O. Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.15 No.3, August 20, 2025

DOI: 10.4236/jmf.2025.153024 171 Downloads 1,210 Views Citations
Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process (Articles)

Jiwook Jang, Genyuan Fu

Applied Mathematics Vol.3 No.12A, December 31, 2012

DOI: 10.4236/am.2012.312A300 5,530 Downloads 8,990 Views Citations
This article belongs to the Special Issue on Probability and Its Applications
Analysis of the Dependence of Stock Risk Based on Copula Theory (Articles)

Qi Li, Guangming Deng, Xin Tan

Journal of Financial Risk Management Vol.8 No.4, November 28, 2019

DOI: 10.4236/jfrm.2019.84015 951 Downloads 2,274 Views Citations
Modelling Dependence of Cryptocurrencies Using Copula Garch (Articles)

Eric M. Kimani, Anthony Ngunyi, Joseph K. Mungatu

Journal of Mathematical Finance Vol.13 No.3, August 24, 2023

DOI: 10.4236/jmf.2023.133020 347 Downloads 1,405 Views Citations
A Class of Copulas Derived from Residual Implications and Its Applications (Articles)

Yihua Liang

Open Journal of Statistics Vol.15 No.2, March 31, 2025

DOI: 10.4236/ojs.2025.152008 114 Downloads 568 Views Citations
Distributed Estimator of Market Beta under Extreme Conditions (Articles)

Suyu Zhu

Journal of Applied Mathematics and Physics Vol.11 No.11, November 28, 2023

DOI: 10.4236/jamp.2023.1111232 251 Downloads 811 Views Citations
The Structural Difference of Shanghai Stock Index before and after 2008: A Copula Based Analysis (Articles)

Chuan Wu, Ke Huang, Xue Tian, Weikang Geng, H. J. Cai

Technology and Investment Vol.3 No.4, November 28, 2012

DOI: 10.4236/ti.2012.34035 3,641 Downloads 6,256 Views Citations
Testing Continuous-Time Interest Rate Model for Chinese Repo Market (Articles)

Huimin Zhao, Fangping Peng

Journal of Mathematical Finance Vol.5 No.1, January 29, 2015

DOI: 10.4236/jmf.2015.51003 3,160 Downloads 4,386 Views Citations
Analyzing Bankruptcy Probability under Partial Shareholder Payments and Dependent Claims via Spearman Copula (Articles)

Kiswendsida Mahamoudou Ouedraogo, Delwendé Abdoul-Kabir Kafando, Lassané Sawadogo, François Xavier Ouedraogo, Pierre Clovis Nitiema

Journal of Mathematical Finance Vol.14 No.1, January 17, 2024

DOI: 10.4236/jmf.2024.141002 262 Downloads 1,039 Views Citations
Dependence Structure of the US Dollar Index and Crude Oil Prices: A Regime-Switching Copula Approach (Articles)

Yuankui Wang, Xiaoquan Ding

Journal of Mathematical Finance Vol.14 No.2, May 15, 2024

DOI: 10.4236/jmf.2024.142009 207 Downloads 1,535 Views Citations
Joint Dependence Structure and Spatiotemporal Heterogeneity between NO₂ and PM_2.5 in Beijing: A Mixture Copula-Based Analysis (Articles)

Xiating Chen

Journal of Applied Mathematics and Physics Vol.14 No.3, March 18, 2026

DOI: 10.4236/jamp.2026.143056 62 Downloads 312 Views Citations
New Nonparametric Rank-Based Tests for Paired Data (Articles)

Guogen Shan

Open Journal of Statistics Vol.4 No.7, August 28, 2014

DOI: 10.4236/ojs.2014.47047 4,484 Downloads 6,818 Views Citations
This article belongs to the Special Issue on Robust Statistics
New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR (Articles)

Chuancun Yin, Dan Zhu

Journal of Financial Risk Management Vol.7 No.1, March 6, 2018

DOI: 10.4236/jfrm.2018.71002 1,617 Downloads 3,092 Views Citations
Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (Articles)

Matthew Ginley, David W. Scott, Katherine E. Ensor

Journal of Mathematical Finance Vol.5 No.5, November 30, 2015

DOI: 10.4236/jmf.2015.55039 5,283 Downloads 7,537 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
Transfer of Global Measures of Dependence into Cumulative Local (Articles)

Boyan Dimitrov, Sahib Esa, Nikolai Kolev, Georgios Pitselis

Applied Mathematics Vol.5 No.4, March 10, 2014

DOI: 10.4236/am.2014.54058 4,559 Downloads 6,113 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,438 Downloads 3,558 Views Citations
Co-Movement, Dependence Structure and Ethical Investment Funds under GFC (Articles)

Robin Hang Luo, M. Ishaq Bhatti

Theoretical Economics Letters Vol.9 No.6, August 14, 2019

DOI: 10.4236/tel.2019.96118 826 Downloads 1,896 Views Citations

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