Research on Correlation between Bitcoin and Gold Price Based on Copula Function

2021 ◽  
Vol 10 (03) ◽  
pp. 507-517
Author(s):  
媛 陈
Keyword(s):  
Copula Function ◽  
Gold Price

Support vector approach using data augmentation with copula function applied to load forecasting

2019 ◽  
Author(s):  
Gabriel Ribeiro ◽  
Marcos Yamasaki ◽  
Helon Vicente Hultmann Ayala ◽  
Leandro Coelho ◽  
Viviana Mariani
Keyword(s):  
Data Augmentation ◽  
Load Forecasting ◽  
Copula Function ◽  
Support Vector ◽  
Using Data ◽  
Vector Approach

Oil and Gold Price Volatility

2011 ◽  
Author(s):  
Jan Walters Kruger ◽  
Angelo Joseph ◽  
Abraham Aphane
Keyword(s):  
Price Volatility ◽  
Gold Price

The Double Nature of the Gold Price

2014 ◽  
Author(s):  
Lei Ming ◽  
Shenggang Yang ◽  
Cheng Cheng
Keyword(s):  
Gold Price ◽  
Double Nature

scholarly journals Joint Modeling of Precipitation and Temperature Using Copula Theory for Current and Future Prediction under Climate Change Scenarios in Arid Lands (Case Study, Kerman Province, Iran)

2019 ◽  
Vol 2019 ◽  
pp. 1-15 ◽  
Author(s):  
T. Mesbahzadeh ◽  
M. M. Miglietta ◽  
M. Mirakbari ◽  
F. Soleimani Sardoo ◽  
M. Abdolhoseini
Keyword(s):  
Climate Change ◽  
Goodness Of Fit ◽  
Joint Modeling ◽  
Copula Function ◽  
Gaussian Copula ◽  
Climate Change Scenarios ◽  
Climatic Parameters ◽  
Goodness Of Fit Test ◽  
Copula Theory ◽  
Precipitation And Temperature

Precipitation and temperature are very important climatic parameters as their changes may affect life conditions. Therefore, predicting temporal trends of precipitation and temperature is very useful for societal and urban planning. In this research, in order to study the future trends in precipitation and temperature, we have applied scenarios of the fifth assessment report of IPCC. The results suggest that both parameters will be increasing in the studied area (Iran) in future. Since there is interdependence between these two climatic parameters, the independent analysis of the two fields will generate errors in the interpretation of model simulations. Therefore, in this study, copula theory was used for joint modeling of precipitation and temperature under climate change scenarios. By the joint distribution, we can find the structure of interdependence of precipitation and temperature in current and future under climate change conditions, which can assist in the risk assessment of extreme hydrological and meteorological events. Based on the results of goodness of fit test, the Frank copula function was selected for modeling of recorded and constructed data under RCP2.6 scenario and the Gaussian copula function was used for joint modeling of the constructed data under the RCP4.5 and RCP8.5 scenarios.

ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS

2006 ◽  
Vol 05 (03) ◽  
pp. 483-493 ◽  
Author(s):  
PING LI ◽  
HOUSHENG CHEN ◽  
XIAOTIE DENG ◽  
SHUNMING ZHANG
Keyword(s):  
Credit Derivatives ◽  
Copula Function ◽  
Dependence Structure ◽  
Default Correlation ◽  
Specific Kind ◽  
Copula Functions ◽  
Recovery Rates ◽  
Collateralized Debt Obligation ◽  
Collateralized Debt ◽  
Debt Obligation

Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative — collateralized debt obligation (CDO). We also analyze two important factors influencing the pricing of multi-name credit derivatives, recovery rates and copula function. Finally, we apply Clayton copula, in a numerical example, to simulate default times taking specific underlying recovery rates and average recovery rates, then price the tranches of a given CDO and then analyze the results.

The copula function of pronouns

Lingua ◽  
1983 ◽  
Vol 59 (2-3) ◽  
pp. 197-207 ◽  
Author(s):  
Mushira Eid
Keyword(s):  
Copula Function
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