New copula models capture volatility and directionality in financial time series.
problem Modeling financial return series with volatility and serial correlation.
method Stationary d-vine copula processes with v-transforms for stochastic volatility and directionality.
result Models can rival and sometimes outperform GARCH family models.
A new method models volatile financial time series using v-transforms and copulas.
problem Modeling volatile financial time series with standard methods.
method v-transforms and copulas to describe and estimate time series with arbitrary marginal distributions and copula dynamics.
result The model replicates stylized facts of financial return series and facilitates risk quantification.
Paper proposes a new model for disentangled latent representations using copula transformations.
problem Disentanglement of latent features in deep latent variable models.
method Adopted deep information bottleneck model, applied copula transformation to restore invariance and sparsity.
result The new model achieves disentanglement and sparsity of latent features.
Copula models improve domain adaptation without labeled target data.
problem Improving target label estimation without labeled target data.
method Copula-based regression framework to model conditional predictive densities.
result Effective feature mappings mitigate domain mismatch, leading to more robust and accurate target label estimation.
Paper introduces new copulas from shock models, improving on maxmin copulas.
problem Improving on maxmin copulas for better characteristics.
method Developed RMM copulas with dependent endogenous shocks and proved convergence of iteration procedures.
result RMM copulas exhibit better characteristics than maxmin copulas, including convergence properties.
The study evaluates financial risk using copulas and statistical tests.
problem Validating bivariate forecasts in risk evaluation.
method Using copulas to characterize dependencies, applying statistical tests to validate forecasts, removing heteroskedasticity.
result A Student copula accurately describes financial time series dependencies.
Flexible copula model using implicit generative neural networks.
problem Limited flexibility of parametric copulas and curse of dimensionality in non-parametric methods.
method Implicit generative neural networks to model high-dimensional copula distributions with unspecified marginals.
result Demonstrated flexibility and performance on various datasets.
We utilize copulas to constitute a unified framework for constructing and optimizing variational proposals in hierarchical Bayesian models. For models with continuous and non-Gaussian hidden variables, we propose a semiparametric and automated variational Gaussian copula approach, in which the parametric Gaussian copul…
We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free te…
This paper develops copula-based models for forecasting multivariate realized volatility.
problem Forecasting multivariate realized volatility matrices with hidden dependence structure.
method Copula-based time series models to capture hidden dependence structure and ensure positive definiteness.
result Copula-based models achieve significant performance in volatility matrix forecasting.
New method for learning multidimensional CDFs using Archimedean copulas.
problem Learning multidimensional CDFs in high dimensions.
method Generative modeling technique using Archimedean copulas as mixture models with latent variables from neural networks.
result Efficacy and computational efficiency compared to existing methods.
Paper introduces a new test for conditional independence using weighted partial copulas.
problem Testing conditional independence between variables.
method The approach uses a weighted partial copula function and a bootstrap procedure to compute regions of rejection.
result The proposed test has competitive power compared to existing methods.
TACTiS models time series uncertainty with transformer attention.
problem Estimating predictive uncertainty in high-dimensional multivariate time series.
method Transformer-Attentional Copulas using attention-based decoder.
result TACTiS produces state-of-the-art predictions on real-world datasets.
Improved model for multivariate time series prediction with simpler architecture.
problem Multivariate probabilistic time series prediction challenges.
method Simplified transformer-based attentional copulas (TACTiS) with linearly scalable parameters.
result Significantly better training dynamics and state-of-the-art performance.
Study develops ensemble machine learning framework for predicting groundwater heavy metal pollution.
problem Statistical complexity and spatial heterogeneity of heavy metal contamination in groundwater.
method Nested cross-validated ensemble machine learning with response transformations (raw, log, Gaussian copula).
result Copula-based models with DBSCAN clustering diagnostics provide the most reliable and interpretable assessments of groundwater contamination.
New multivariate dependency measure using Gaussian kernel and copula.
problem Measuring dependency between multivariate distributions.
method Gaussian kernel distance to uniform copula, normalization, nonparametric estimate.
result Proposed measure satisfies desirable properties and is compared with existing measures.
VCAE uses vine copulas to improve AE generative models for high-dimensional data.
problem Creating flexible generative models for high-dimensional data.
method Three-step procedure: autoencoder compression, vine copula estimation, and generative model combination.
result VCAEs achieve competitive results compared to standard baselines.
Copula models for sovereign ratings improved by incorporating climate risk.
problem Modeling nonlinear dependence and clustering in sovereign rating migrations.
method Mixed-difference transformation, MAGMAR(1,1) copula process, consistent and asymptotically normal estimators.
result Gumbel MAGMAR(1,1) specification outperforms other models in empirical performance.
Copula-based normalizing flows improve flexibility and stability for heavy-tailed data.
problem Limited expressive power of vanilla normalizing flows.
method Generalize base distribution to copula for more accurate representation of target distribution.
result Copula-based normalizing flows improve flexibility, stability, and effectiveness for heavy-tailed data.
The paper examines how heavy-tailed risks behave under Gaussian copula models.
problem Understanding tail risk probabilities with heavy-tailed marginal risks and Gaussian dependence.
method Modeling heavy-tailed risks using regular variation and analyzing tail probabilities under Gaussian copula.
result The rate of decay of tail set probabilities varies with the type of tail sets and Gaussian correlation matrix.
A new copula model for multi-attribute data using optimal transport.
problem Relaxing the Gaussian assumption for multi-attribute graphical models.
method Introducing a new copula (Cyclically Monotone Copula) and using optimal transport theory.
result The model allows arbitrary continuous distributions and is more flexible than classical methods.
Constructs bivariate quantiles using vine copulas for multivariate analysis.
problem Need for research in multivariate quantiles, especially for bivariate responses.
method Constructs bivariate (conditional) quantiles using vine copula based bivariate regression model with a novel tree sequence graph structure.
result Avoids typical shortfalls of regression like transformations, interactions, collinearity, and quantile crossings.
We study the adaptive estimation of copula correlation matrix Σ for the semi-parametric elliptical copula model. In this context, the correlations are connected to Kendall's tau through a sine function transformation. Hence, a natural estimate for Σ is the plug-in estimator Σ^ with Kendall's tau statistic. We …
Methodology for visualizing labeled datasets with mixed features.
problem Visualization of labeled mixed-featured datasets.
method Developed a Max-Ratio Projection (MRP) method for continuous features and extended it to datasets with discrete and continuous features using Gaussianized distributional transforms and copula models.
result Visualization of labeled mixed-featured datasets using Max-Ratio Projection and Gaussianized distributional transforms.
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivariate extension. First it is shown that an arbitrary copula is in the domain of attraction of a multivariate extreme value …
GTMs model complex multivariate data with varying conditional independencies.
problem Modeling multivariate data with intricate marginals and complex dependency structures.
method Semiparametric approach using penalized splines and lasso regularization.
result GTMs accurately learn complex dependencies and identify conditional independencies.
The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous properties. Similarly to Shannon mutual information, the proposed dependence mea…
Deep learning model estimates mutual information with low bias and variance.
problem Estimating mutual information between continuous variables.
method Supervised deep learning approach using Linfoot informational correlation as labels.
result Lower bias and variance compared to other methods.
The paper proposes a method to identify power system oscillation modes using blind source separation.
problem Accurately identifying oscillation modes in power systems with renewable energy sources.
method A high-order blind source identification (HOBI) algorithm based on copula statistic combined with Hilbert transform and iteration procedure.
result The method can identify all oscillation modes and model order from a single channel of observation signals, outperforming state-of-the-art methods.
MIND estimates mutual information from ordinal data without full distributional knowledge.
problem Estimating mutual information from ordinal data with limited data.
method Copula-based maximum-entropy estimation of copula entropies.
result MIND estimator is consistent, data-efficient, and unbounded for any sample size.
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian Paid-Incurred-Claims models, combining the claims reserving models of Hertig et al. (198…
In this paper we present a new multi-asset pricing model, which is built upon newly developed families of solvable multi-parameter single-asset diffusions with a nonlinear smile-shaped volatility and an affine drift. Our multi-asset pricing model arises by employing copula methods. In particular, all discounted single-…
New copulas model external shocks with different effects on system components.
problem Modeling external shocks with different impacts on system components.
method Introduced reflected maxmin (RMM) copulas to extend maxmin copulas.
result Symmetric RMM copulas relate to general RMM copulas similarly to semilinear copulas to Marshall copulas.
The paper examines bounds for stop-loss payoffs using transformed random variables.
problem Bounding stop-loss payoffs for a difference of two random variables.
method Analyzes crossing points of cdfs of original and transformed random variables.
result Unique pairwise crossing points for mortality-linked securities under symmetric copulas.
Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dim…
Paper proposes a method for weather-informed probabilistic forecasting and scenario generation in power systems.
problem Challenges of integrating renewable energy sources into power grids due to their stochasticity and uncertainty.
method Combines probabilistic forecasting and Gaussian copula for day-ahead prediction and scenario generation of load, wind, and solar power.
result Demonstrates superior performance of the proposed weather-informed Temporal Fusion Transformer (WI-TFT) model.
A new copula, the checkerboard copula, maximizes entropy and preserves dependence.
problem Choosing copula for non-continuous marginal distributions.
method Introducing the checkerboard copula, maximizing Shannon entropy.
result Checkerboard copula maximizes entropy and preserves dependence.
This paper proposes a new class of copulas which characterize the set of all twice continuously differentiable copulas. We show that our proposed new class of copulas is a new generalized copula family that include not only asymmetric copulas but also all smooth copula families available in the current literature. Spea…
We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be minimal in concordance ordering in the sense that no copula exists which is stric…
We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis…
The paper proposes a method to model financial data asynchronously using copulas.
problem Modeling intraday financial returns of multiple assets due to asynchronous data.
method Proposes a consistent estimator of the correlation coefficient for Elliptical copulas and an improved estimator for non-elliptical copulas.
result The proposed estimator reduces bias in estimating copula parameters for a general class of copulas.
New copulas fit asymmetric data in any dimension.
problem Fitting asymmetric data in arbitrary dimensions.
method Constructive approach to infinite partition-of-unity copulas.
result Solution to fitting negative binomial and Poisson copulas to data.
This work tackles multivariate CDFs and copulas using tensor factorization.
problem Learning multivariate distributions, especially for mixed random variables, is challenging.
method Introducing a low-rank model for efficient sampling, inference, and uncertainty quantification.
result The proposed model outperforms traditional methods in various applications.
All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by their pairwise copulas. Here we investigate particularly to which extent the non-st…
The paper extends copulas for continuous data, enabling tail dependence.
problem Modeling continuous data with tail dependence.
method Generates copulas using empirical data and a simple algorithm.
result Allows for positive tail dependence in copula modeling.
Paper compares MCMC-based copula methods for exchange option pricing.
problem Pricing exchange options using copulas and MCMC.
method Risk-neutral pricing, copulas, and MCMC algorithm.
result Different copula models provide similar option prices except Gumbel.
Model predicts volatility and dependencies in EUA and energy prices.
problem Analyzing uncertainty and dependencies in European carbon and energy prices.
method Probabilistic multivariate conditional time series model with VECM-Copula-GARCH structure.
result Forecasting performance evaluated in an extensive rolling-window study.
A new copula estimation method using classification.
problem Estimating copula density from joint and marginal distributions.
method Train a classifier to distinguish joint density from product of marginals.
result Empirically outperforms existing copula estimators.