Browsing by Subject "Copula"

Now showing items 1-4 of 4

    • Uma nova abordagem para análise de dependência bivariada 

      Marchi, Vitor Alex Alves de (Universidade Federal de São Carlos, UFSCar, Programa de Pós-Graduação em Estatística - PPGEs, , 23/04/2010)
      In this dissertation we describe and implement procedures for nonparametric estimation of copulas and Sibuya function, and also procedures for bivariate analysis of dependence based on the behavior of their contours plot. ...

    • Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach 

      Lopes, Lucas Pereira (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 15/02/2019)
      This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...

    • Risco operacional: o cálculo do capital regulatório usando dependência 

      Gonçalves, Débora Delbem (Universidade Federal de São Carlos, UFSCar, Programa de Pós-Graduação em Estatística - PPGEs, , 16/01/2014)
      In this paper we propose a new method for the calculation of regulatory capital required for operational risk. This method is based on some important assumptions for calculation of this capital, for instance, expert opinion, ...

    • Multivariate conditional density estimation with copulas 

      Bisca, Felipe Hernandez (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 29/09/2021)
      Most machine learning regression models only yield single point estimations for the label of a new observation. However, when dealing with multi-modal or asymmetric distributions, a single point estimate is not enough to ...