Abstract Value at Risk (VaR) is one of the most common risk management tools in finance.
Since a portfolio of several assets, rather than one asset portfolio, is advantageous in the …

Fluctuations are a key characteristic of the wind resource. It is important to quantitatively
analyze wind direction fluctuation due to its influence on the optimization of wind turbine yaw …

There are many types of bank risks and their basic characteristics vary greatly differently,
therefore, how to effectively aggregate three or more risks is still a great challenge. This …

Correlation matrices are omnipresent in multivariate data analysis. When the number d of
variables is large, the sample estimates of correlation matrices are typically noisy and …

Multivariate copulas have been widely used to handle risk in the financial market. This paper
aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure …

This article investigates the benefits of combining information available from daily and
intraday data in financial return forecasting. The two data sources are combined via a …

We consider the family of hierarchical Archimedean copulas obtained from multivariate
exponential mixture distribution through compounding, as introduced by Cossette et …

Mastering the lodging risk of planting environment is of great significance to the optimal
layout of maize varieties and the breeding of lodging resistant varieties. However, the …

Modeling temporal dependency holds significant importance across diverse domains like
finance, economics, and resource allocation. By capturing the intricate relationships …

Focusing on point-scale random variables, ie variables whose support consists of the first m
positive integers, we discuss how to build a joint distribution with pre-specified marginal …