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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.

168,742 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

Study uses vine copulas to optimize financial portfolios during and after the financial crisis.

problem Optimizing financial portfolios during and after the financial crisis.

method Modeling dependency structures using vine copulas, testing different portfolio strategies, analyzing various copulas.

result Vine copulas reduce portfolio risk better than simple copulas, especially during the financial crisis.

vine copulas portfolio optimization financial crisis financial returns Value-at-Risk

2019-12-21abs ↗pdf ↗