Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Loïc Brin"'
Publikováno v:
SSRN Electronic Journal.
Grouped t-copulas were introduced by Embrechts et al. (1999) and Fang et al. (2002) to address the inability of Gaussian copulas to model non-linear dependencies and of t-copulas to model heterogeneous tail-dependencies. These heterogeneous tail-depe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecd417e29a8a5c2b35cf38d44091447d
https://doi.org/10.2139/ssrn.3100048
https://doi.org/10.2139/ssrn.3100048
Publikováno v:
British Journal of Social Psychology. 55:195-205
This study examined whether people can detect deception after the fact if they initially accept someone's behaviour at face value but then learn that they have been duped. Fifty-four groups composed of four to six mutual friends engaged in a group di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b11944cc9a5e324c383c264571018157
https://doi.org/10.1111/bjso.12129
https://doi.org/10.1111/bjso.12129
Publikováno v:
The Journal of Operational Risk.
In risk management, t-copulas are used to model dependencies beyond Gaussian copulas as they take into account tail dependencies. A t-copula has two parameters: the correlation matrix and the degree of freedom; they are usually estimated by maximizin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1974a1a9b586bab8469f502d9f93e971
https://doi.org/10.21314/jop.2016.180
https://doi.org/10.21314/jop.2016.180