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Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach
(2016)
In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for ...nancial data. Determining thebest model of dependency between ...nancial data has an important role intaking ...
The flexible skew Laplace distribution
(Taylor & Francis Inc, 2016)
Skew-symmetric distributions have been discussed by several research-ers. In this article we construct a skew-symmetric Laplace distribution, which is the generalization of distribution given by Ali etal. (2009) and Nekoukhou ...
Generalizing the survival signature to unrepairable homogeneous multi-state systems
(Wiley, 2016)
The notion of signature has been widely applied for the reliability evaluation of technical systems that consist of binary components. Multi-state system modeling is also widely used for representing real life engineering ...