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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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3 results for “d-vine”

Time series copula models using d-vines and v-transformsstat.ME

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.

financial time series copula models volatility directionality d-vine

2020-06-19abs ↗pdf ↗

Assessing univariate and bivariate risks of late-frost and drought using vine copulas: A historical study for Bavariastat.AP

Study assesses drought and late-frost risks in Bavaria using vine copulas.

problem Assessing risks of late-frost and drought in Bavaria due to climate change.

method Used vine copula models for non-Gaussian and asymmetric dependencies, with univariate and bivariate regression analyses.

result Identified 'at-risk' regions for forest adaptation.

vine copulas late-frost drought climate change forest die-back

2023-10-16abs ↗pdf ↗

Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisisq-fin.PM

We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009 financial crisis and test different portfolio strategies such as maximum Sharpe ratio, minimum variance, and minimum conditiona…

2019-12-21abs ↗pdf ↗