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Year 2013, Volume: 26 Issue: 2, 195 - 200, 05.07.2013

Hasan Bal Vadoud Najjarı

Abstract

References

  • Sklar, A., Fonctions de rpartition n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8 (1959) 229-231.
  • Habiboellah, F., Copulas, Modeling dependencies in Financial Risk Management. Purmerend, Dec (2007).
  • Friend, A., Rogge, E., Correlation at First Sight. Economic Notes: Review of Banking, Finance and Monetary Economics, (2004).
  • Clemen, R.T., Reilly, T., Correlations and Copulas for Decision and Risk Analysis. Management Science, 45 (1999) 208-224.
  • Najjari, V., Unsal, M. G., An Application of Archimedean Copulas for Meteorological Data. Gazi University Journal of Science, 25:2 (2012) 301-306.
  • Celebioglu, S., Arşimedyen Kapulalar Ve Bir Uygulama. S Ü Fen Ed Fak Fen Derg, 22 (2003) 43- 52.
  • Al-Harthy, M., Begg. S., Reidar B. Bratvold., Copulas: A new technique to model dependence in petroleum decision making. Journal of Petroleum Science and Engineering . 57 (2007) 195-208.
  • Genest, C., MacKay, J., Copules archimdienneset familles de loisbi dimensionnelles dont les margessontdonnes. Canad J Statist, 14 (1986a) 145- 159.
  • Genest, C., MacKay, J., The joy of copula, Bivariate distributions with uniformmarginals. Amer Statist, 40 (1986b) 280-285.
  • Hua, Joe. H., Tail order and intermediate tail dependence of multivariate copulas. Journal of Multivariate Analysis, 102 (2011) 1454-1471.
  • Nelsen, R.B., An Introduction to Copulas. Springer, New York, (2006) second edition.

Archimedean Copulas Family via Hyperbolic Generator

Year 2013, Volume: 26 Issue: 2, 195 - 200, 05.07.2013

Hasan Bal Vadoud Najjarı

Abstract

In this study the main endeavor is to generate an Archimedean copulas (AC) family via hyperbolic function. With using function, a new generator of Archimedean family will be defined. Scatterplots, contour diagrams and also surface of the generated new Archimedean family will be shown for several values of its parameter.

Keywords

Archimedean Copulas Generator Hyperbolic functions Kendall's tau. 1. INTRODUCTION

References

  • Sklar, A., Fonctions de rpartition n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8 (1959) 229-231.
  • Habiboellah, F., Copulas, Modeling dependencies in Financial Risk Management. Purmerend, Dec (2007).
  • Friend, A., Rogge, E., Correlation at First Sight. Economic Notes: Review of Banking, Finance and Monetary Economics, (2004).
  • Clemen, R.T., Reilly, T., Correlations and Copulas for Decision and Risk Analysis. Management Science, 45 (1999) 208-224.
  • Najjari, V., Unsal, M. G., An Application of Archimedean Copulas for Meteorological Data. Gazi University Journal of Science, 25:2 (2012) 301-306.
  • Celebioglu, S., Arşimedyen Kapulalar Ve Bir Uygulama. S Ü Fen Ed Fak Fen Derg, 22 (2003) 43- 52.
  • Al-Harthy, M., Begg. S., Reidar B. Bratvold., Copulas: A new technique to model dependence in petroleum decision making. Journal of Petroleum Science and Engineering . 57 (2007) 195-208.
  • Genest, C., MacKay, J., Copules archimdienneset familles de loisbi dimensionnelles dont les margessontdonnes. Canad J Statist, 14 (1986a) 145- 159.
  • Genest, C., MacKay, J., The joy of copula, Bivariate distributions with uniformmarginals. Amer Statist, 40 (1986b) 280-285.
  • Hua, Joe. H., Tail order and intermediate tail dependence of multivariate copulas. Journal of Multivariate Analysis, 102 (2011) 1454-1471.
  • Nelsen, R.B., An Introduction to Copulas. Springer, New York, (2006) second edition.
There are 11 citations in total.

Details

Primary Language English
Subjects Engineering
Journal Section Statistics
Authors

Hasan Bal

Vadoud Najjarı This is me

Publication Date July 5, 2013
Published in Issue Year 2013 Volume: 26 Issue: 2

Cite

APA Bal, H., & Najjarı, V. (2013). Archimedean Copulas Family via Hyperbolic Generator. Gazi University Journal of Science, 26(2), 195-200.
AMA Bal H, Najjarı V. Archimedean Copulas Family via Hyperbolic Generator. Gazi University Journal of Science. July 2013;26(2):195-200.
Chicago Bal, Hasan, and Vadoud Najjarı. “Archimedean Copulas Family via Hyperbolic Generator”. Gazi University Journal of Science 26, no. 2 (July 2013): 195-200.
EndNote Bal H, Najjarı V (July 1, 2013) Archimedean Copulas Family via Hyperbolic Generator. Gazi University Journal of Science 26 2 195–200.
IEEE H. Bal and V. Najjarı, “Archimedean Copulas Family via Hyperbolic Generator”, Gazi University Journal of Science, vol. 26, no. 2, pp. 195–200, 2013.
ISNAD Bal, Hasan - Najjarı, Vadoud. “Archimedean Copulas Family via Hyperbolic Generator”. Gazi University Journal of Science 26/2 (July 2013), 195-200.
JAMA Bal H, Najjarı V. Archimedean Copulas Family via Hyperbolic Generator. Gazi University Journal of Science. 2013;26:195–200.
MLA Bal, Hasan and Vadoud Najjarı. “Archimedean Copulas Family via Hyperbolic Generator”. Gazi University Journal of Science, vol. 26, no. 2, 2013, pp. 195-00.
Vancouver Bal H, Najjarı V. Archimedean Copulas Family via Hyperbolic Generator. Gazi University Journal of Science. 2013;26(2):195-200.