Modifying copulas for improved dependence modelling

Show simple item record Le Roux, Colette De Waal, Alta 2020-05-15T07:56:46Z 2020-05-15T07:56:46Z 2019
dc.description.abstract In 2007 and 2008, underestimation of correlations and risks, as well as the misuse of dependence models, lead to the financial crisis. This highlighted the need to improve dependence modelling through both the correlation parameter and choice of model used. Copulas are useful for modelling dependence patterns in multivariate data, as well as prediction in regression analysis. en_ZA
dc.description.department Statistics en_ZA
dc.description.librarian am2020 en_ZA
dc.description.uri en_ZA
dc.description.uri en_ZA
dc.identifier.citation Le Roux, C. & De Waal, A. 2019, 'Modifying copulas for improved dependence modelling', CEUR Workshop Proceedings, vol. 2540, pp. 1-3. en_ZA
dc.identifier.issn 1613-0073
dc.language.iso en en_ZA
dc.publisher CEUR Workshop Proceedings en_ZA
dc.rights © 2019 for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0). en_ZA
dc.subject Copula en_ZA
dc.subject Copula processes en_ZA
dc.subject Gaussian processes en_ZA
dc.subject Vine copulas en_ZA
dc.subject Bayesian methods en_ZA
dc.title Modifying copulas for improved dependence modelling en_ZA
dc.type Article en_ZA

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