Journal ArticleDOI
Multivariate models and dependence concepts
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Introduction.Abstract:
Introduction. Aspects of Interpretation. Technical Considerations. Statistical Analysis. Special Methods for Joint Responses. Some Examples. Strategical Aspects. More Specialized Topics. Appendices.read more
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Adam A. Margolin,Ilya Nemenman,Katia Basso,Chris H. Wiggins,Gustavo Stolovitzky,Riccardo Dalla Favera,Andrea Califano +6 more
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Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
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Pair-copula constructions of multiple dependence
TL;DR: This work uses the pair-copula decomposition of a general multivariate distribution and proposes a method for performing inference, which represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-Copula models, that also can be applied to huge data sets automatically.
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Modelling asymmetric exchange rate dependence
TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.