Adoption of IPM by Farmland Owners and Non-owners: Application of Endogenous Switching Copula Approach

2020 ◽  
pp. 91-108
Author(s):  
Sahar Abedi ◽  
Pariya Bagheri ◽  
Esmaeil Pishbahar
Keyword(s):  
Endogenous Switching ◽  
Copula Approach ◽  
Farmland Owners

Wage Mobility: A Functional Copula Approach

2018 ◽  
Author(s):  
Costanza Naguib ◽  
Patrick Gagliardini
Keyword(s):  
Copula Approach

Dependent Wind Speed Models: Copula Approach

2020 ◽  
Author(s):  
M.A. Ehsan ◽  
Amir Shahirinia ◽  
Jeff Gill ◽  
Nian Zhang
Keyword(s):  
Wind Speed ◽  
Copula Approach

Ensemble prediction of regional droughts using climate inputs and the SVM-copula approach

2013 ◽  
Vol 28 (19) ◽  
pp. 4989-5009 ◽  
Author(s):  
Poulomi Ganguli ◽  
M. Janga Reddy
Keyword(s):  
Ensemble Prediction ◽  
Copula Approach

Bivariate modeling of time headways in mixed traffic streams: a copula approach

2018 ◽  
Vol 12 (2) ◽  
pp. 138-148 ◽  
Author(s):  
Sanhita Das ◽  
Akhilesh Kumar Maurya
Keyword(s):  
Mixed Traffic ◽  
Copula Approach

scholarly journals On the control of the difference between two Brownian motions: a dynamic copula approach

2016 ◽  
Vol 4 (1) ◽  
Author(s):  
Thomas Deschatre
Keyword(s):  
Cumulative Distribution Function ◽  
Survival Function ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Gaussian Copula ◽  
Brownian Motions ◽  
Dynamic Copula ◽  
Copula Approach ◽  
The Difference ◽  
The Right

AbstractWe propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible copulae for the Brownian motions are not limited to the class of Gaussian copulae and that it also contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. Considering two Brownian motions B1t and B2t, the main result is that the range of possible values for is the same for Markovian pairs and all pairs of Brownian motions, that is with φ being the cumulative distribution function of a standard Gaussian random variable.

scholarly journals Applying the copula approach to sample selection modelling

2008 ◽  
Vol 40 (11) ◽  
pp. 1443-1455 ◽  
Author(s):  
Margarita Genius ◽  
Elisabetta Strazzera
Keyword(s):  
Sample Selection ◽  
Copula Approach

OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES

2015 ◽  
Vol 10 (02) ◽  
pp. 1550010
Author(s):  
YAACOV KOPELIOVICH
Keyword(s):  
Corporate Bond ◽  
Insurance Companies ◽  
Asset Liability Management ◽  
Optimal Portfolios ◽  
Optimal Weights ◽  
Liability Management ◽  
Simulation Based ◽  
Copula Approach ◽  
Bond Portfolios ◽  
Bond Indices

In this paper, we initiate a research on optimal bond portfolios, that are held to their maturity. We solve the problem analytically for log utility investor in the case of one risky corporate asset. We compare the behavior of these portfolios to equally weighted and portfolios with randomly selected weights. We apply simulation based on Vasicek’s copula approach to derive optimal weights for a corresponding problem involving more than one corporate bond. Further we discover that these portfolios outperform naive investment in constant maturity (CCM) bond indices with a similar maturity horizon. We explain possible application of our findings to boost asset liability management (ALM) strategies for pensions and insurance companies.

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