scholarly journals The nexus between black and digital gold: evidence from US markets

2021 ◽  
Author(s):  
Toan Luu Duc Huynh ◽  
Rizwan Ahmed ◽  
Muhammad Ali Nasir ◽  
Muhammad Shahbaz ◽  
Ngoc Quang Anh Huynh
Keyword(s):  
Goodness Of Fit ◽  
Tail Dependence ◽  
Oil Prices ◽  
Likelihood Estimation ◽  
Dependence Structure ◽  
Goodness Of Fit Test ◽  
Left Tail ◽  
Stationary Bootstrap ◽  
The Us ◽  
Pseudo Likelihood Estimation

AbstractIn the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments.

scholarly journals A Method for Systemic Risk Estimation Based on CDS Indices

2015 ◽  
Vol 8 (1) ◽  
pp. 103-124
Author(s):  
Gabriel Gaiduchevici
Keyword(s):  
Goodness Of Fit ◽  
Risk Estimation ◽  
Multivariate Time Series ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Parameter Estimates ◽  
Copula Models ◽  
Goodness Of Fit Tests ◽  
Multi Stage ◽  
Stage Estimation

AbstractThe copula-GARCH approach provides a flexible and versatile method for modeling multivariate time series. In this study we focus on describing the credit risk dependence pattern between real and financial sectors as it is described by two representative iTraxx indices. Multi-stage estimation is used for parametric ARMA-GARCH-copula models. We derive critical values for the parameter estimates using asymptotic, bootstrap and copula sampling methods. The results obtained indicate a positive symmetric dependence structure with statistically significant tail dependence coefficients. Goodness-of-Fit tests indicate which model provides the best fit to data.

scholarly journals Bivariate Hydrologic Risk Assessment of Flood Episodes using the Notation of Failure Probability

2020 ◽  
Vol 6 (10) ◽  
pp. 2002-2023
Author(s):  
Shahid Latif ◽  
Firuza Mustafa
Keyword(s):  
Failure Probability ◽  
Goodness Of Fit ◽  
Peak Flow ◽  
Gaussian Copula ◽  
Dependence Structure ◽  
Distribution Analysis ◽  
Return Periods ◽  
Goodness Of Fit Test ◽  
Flood Peak ◽  
Flood Volume

Floods are becoming the most severe and challenging hydrologic issue at the Kelantan River basin in Malaysia. Flood episodes are usually thoroughly characterized by flood peak discharge flow, volume and duration series. This study incorporated the copula-based methodology in deriving the joint distribution analysis of the annual flood characteristics and the failure probability for assessing the bivariate hydrologic risk. Both the Archimedean and Gaussian copula family were introduced and tested as possible candidate functions. The copula dependence parameters are estimated using the method-of-moment estimation procedure. The Gaussian copula was recognized as the best-fitted distribution for capturing the dependence structure of the flood peak-volume and peak-duration pairs based on goodness-of-fit test statistics and was further employed to derive the joint return periods. The bivariate hydrologic risks of flood peak flow and volume pair, and flood peak flow and duration pair in different return periods (i.e., 5, 10, 20, 50 and 100 years) were estimated and revealed that the risk statistics incrementally increase in the service lifetime and, at the same instant, incrementally decrease in return periods. In addition, we found that ignoring the mutual dependency can underestimate the failure probabilities where the univariate events produced a lower failure probability than the bivariate events. Similarly, the variations in bivariate hydrologic risk with the changes of flood peak in the different synthetic flood volume and duration series (i.e., 5, 10, 20, 50 and 100 years return periods) under different service lifetimes are demonstrated. Investigation revealed that the value of bivariate hydrologic risk statistics incrementally increases over the project lifetime (i.e., 30, 50, and 100 years) service time, and at the same time, it incrementally decreases in the return period of flood volume and duration. Overall, this study could provide a basis for making an appropriate flood defence plan and long-lasting infrastructure designs. Doi: 10.28991/cej-2020-03091599 Full Text: PDF

scholarly journals Modelling the number of olive groves in Spanish municipalities

2016 ◽  
Vol 14 (1) ◽  
pp. e0201
Author(s):  
Maria-Dolores Huete ◽  
Juan A. Marmolejo
Keyword(s):  
Goodness Of Fit ◽  
Likelihood Estimation ◽  
External Factors ◽  
Discrete Distributions ◽  
Future Research ◽  
Total Output ◽  
Goodness Of Fit Test ◽  
Chi Square ◽  
Total Variability ◽  
Olive Groves

<p>The univariate generalized Waring distribution (UGWD) is presented as a new model to describe the goodness of fit, applicable in the context of agriculture. In this paper, it was used to model the number of olive groves recorded in Spain in the 8,091 municipalities recorded in the 2009 Agricultural Census, according to which the production of oil olives accounted for 94% of total output, while that of table olives represented 6% (with an average of 44.84 and 4.06 holdings per Spanish municipality, respectively). UGWD is suitable for fitting this type of discrete data, with strong left-sided asymmetry. This novel use of UGWD can provide the foundation for future research in agriculture, with the advantage over other discrete distributions that enables the analyst to split the variance. After defining the distribution, we analysed various methods for fitting the parameters associated with it, namely estimation by maximum likelihood, estimation by the method of moments and a variant of the latter, estimation by the method of frequencies and moments. For oil olives, the chi-square goodness of fit test gives <em>p</em>-values of 0.9992, 0.9967 and 0.9977, respectively. However, a poor fit was obtained for the table olive distribution. Finally, the variance was split, following Irwin, into three components related to random factors, external factors and internal differences. For the distribution of the number of olive grove holdings, this splitting showed that random and external factors only account about 0.22% and 0.05%. Therefore, internal differences within municipalities play an important role in determining total variability.</p>

scholarly journals The Effect of Sample Size on Bivariate Rainfall Frequency Analysis of Extreme Precipitation

Proceedings ◽  
2018 ◽  
Vol 7 (1) ◽  
pp. 19 ◽  
Author(s):  
Nikoletta Stamatatou ◽  
Lampros Vasiliades ◽  
Athanasios Loukas
Keyword(s):  
Sample Size ◽  
Frequency Analysis ◽  
Extreme Precipitation ◽  
Goodness Of Fit ◽  
Return Periods ◽  
Goodness Of Fit Test ◽  
Maximum Rainfall ◽  
Rainfall Frequency ◽  
Rainfall Frequency Analysis ◽  
Pseudo Likelihood Estimation

The objective of this study is to compare univariate and joint bivariate return periods of extreme precipitation that all rely on different probability concepts in selected meteorological stations in Cyprus. Pairs of maximum rainfall depths with corresponding durations are estimated and compared using annual maximum series (AMS) for the complete period of the analysis and 30-year subsets for selected data periods. Marginal distributions of extreme precipitation are examined and used for the estimation of typical design periods. The dependence between extreme rainfall and duration is then assessed by an exploratory data analysis using K-plots and Chi-plots and the consistency of their relationship is quantified by Kendall’s correlation coefficient. Copulas from Archimedean, Elliptical, and Extreme Value families are fitted using a pseudo-likelihood estimation method, evaluated according to the corrected Akaike Information Criterion and verified using both graphical approaches and a goodness-of-fit test based on the Cramér-von Mises statistic. The selected copula functions and the corresponding conditional and joint return periods are calculated and the results are compared with the marginal univariate estimations of each variable. Results highlight the effect of sample size on univariate and bivariate rainfall frequency analysis for hydraulic engineering design practices.

scholarly journals A Modified Chi-square Type Test Statistic for the Double Burr X Model with Applications to Right Censored Medical and Reliability Data

2021 ◽  
pp. 615-623
Author(s):  
Khaoula Aidi ◽  
Nadeem Shafique Butt ◽  
Mir Masoom Ali ◽  
Mohamed Ibrahim ◽  
Haitham M. Yousof ◽  
...  
Keyword(s):  
Censored Data ◽  
Goodness Of Fit ◽  
Estimation Method ◽  
Likelihood Estimation ◽  
Data Sets ◽  
Test Statistic ◽  
Goodness Of Fit Test ◽  
Chi Square ◽  
Right Censored Data ◽  
The Right

A new modified version of the Bagdonavičius-Nikulin goodness-of-fit test statistic is presented for validity for the right censor case under the double Burr type X distribution. The maximum likelihood estimation method in censored data case is used and applied. Simulations via the algorithm of Barzilai-Borwein is performed for assessing the right censored estimation method. Another simulation study is presented for testing the null hypothesis under the modified version of the Bagdonavičius and Nikulin goodness-of-fit statistical test. Four right censored data sets are analyzed under the new modified test statistic for checking the distributional validation.

scholarly journals Maximum Likelihood Estimation for the Generalized Pareto Distribution and Goodness-of-Fit Test with Censored Data

2019 ◽  
Vol 17 (2) ◽  
Author(s):  
Minh H. Pham ◽  
Chris Tsokos ◽  
Bong-Jin Choi
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Censored Data ◽  
Goodness Of Fit ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Likelihood Estimation ◽  
R Package ◽  
Goodness Of Fit Test ◽  
Generalized Pareto

The generalized Pareto distribution (GPD) is a flexible parametric model commonly used in financial modeling. Maximum likelihood estimation (MLE) of the GPD was proposed by Grimshaw (1993). Maximum likelihood estimation of the GPD for censored data is developed, and a goodness-of-fit test is constructed to verify an MLE algorithm in R and to support the model-validation step. The algorithms were composed in R. Grimshaw’s algorithm outperforms functions available in the R package ‘gPdtest’. A simulation study showed the MLE method for censored data and the goodness-of-fit test are both reliable.

Simulation for Mixture of Archimedean Copulas

2012 ◽  
Vol 195-196 ◽  
pp. 738-743
Author(s):  
Shi De Ou
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Tail Dependence ◽  
Likelihood Estimation ◽  
Numerical Results ◽  
Dependence Structure ◽  
Archimedean Copulas ◽  
Copula Models ◽  
Random Samples ◽  
Dependence Structures

Many dependence structures can consist of mixed copulas. In order to analyze the dependence of stock, we present the method of estimation for mixed copula models. Via generating random samples and using maximum likelihood estimation, the parameters of mixture of Archimedean copulas are estimated. Numerical results show that this method estimates effectively the parameters and tail dependence coefficients. Therefore we can use the method to analyze dependence structure for stocks.

Research on Complex Equipment Reliability Growth AMSAA-ELP Model Based on Explore Learning Promotion

2014 ◽  
Vol 940 ◽  
pp. 531-534 ◽  
Author(s):  
Na Zhang
Keyword(s):  
Maximum Likelihood ◽  
Goodness Of Fit ◽  
Likelihood Estimation ◽  
Trend Test ◽  
Reliability Growth ◽  
Goodness Of Fit Test ◽  
Model Based ◽  
Estimation Formula ◽  
Equipment Reliability ◽  
Complex Equipment

According to learning other models equipment test information of complex equipment in the development process, and making their own systems to improve the reliability of the case, a complex equipment reliability growth AMSAA-ELP model based on explore learning promotion was developed, and the property was analyzed from different parameter values. Additionally, the trend test was also presented. Secondly, maximum likelihood estimation formula of the parameters was given under time censored and failure censored test of AMSAA-ELP model, and point out that there are multiple poles value of the maximum likelihood estimate can use pseudo-Monte-Carlo method parameter calculation. Additionally, the model's goodness of fit test was also given. Finally, the combination of complex equipment with engine failure data was analyzed. The results shows that the AMSAA-ELP model is prefer to AMSAA model intended to test data, and the AMSAA-ELP model is suitable to the engineering applications.

scholarly journals Maximum Likelihood Estimation for the Generalized Pareto Distribution and Goodness-of-Fit Test with Censored Data

2019 ◽  
Vol 17 (2) ◽  
Author(s):  
Maddalena Cavicchioli ◽  
Angeliki Papana ◽  
Ariadni Papana Dagiasis ◽  
Barbara Pistoresi
Keyword(s):  
Goodness Of Fit ◽  
Pareto Distribution ◽  
A Priori ◽  
Generalized Pareto Distribution ◽  
Likelihood Estimation ◽  
Large Database ◽  
Goodness Of Fit Test ◽  
Institutional Variables ◽  
Generalized Pareto ◽  
Selection Of

A non-parametric efficient statistical method, Random Forests, is implemented for the selection of the determinants of Central Bank Independence (CBI) among a large database of economic, political, and institutional variables for OECD countries. It permits ranking all the determinants based on their importance in respect to the CBI and does not impose a priori assumptions on potential nonlinear relationships in the data. Collinearity issues are resolved, because correlated variables can be simultaneously considered.

Sign in / Sign up

Export Citation Format

Share Document