The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula-threshold-GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets and bivariate dependency, in a flexible manner. Two elliptical copulas (Gaussian and Student’s-t) and t...

Copulae are joint continuous distributions with uniform marginals and have been proposed to capture probabilistic dependence between random variables. Maximum entropy copulae introduced by Bedford and Meeuwissen (1997) provide experts the option of making minimally informative assumptions given a degree of dependence constraint between two random variables. Unfortunately, their distributions fu...

Information fusion of fuzzy numbers has played a vital role in the decision support systems under environment q-rung orthopair set (q-ROFS), which is an effective extension intuitionistic and set. The goals present work are to build family new aggregation operators (AOs) q-ROF apply them MADM problems. First, extended Archimedean copula (EAC) co-copula (EACC) proposed handle information; conseq...

We study an n-player game with random payoffs and continuous strategy sets. The payoff function of each player is defined by its expected value the set a joint chance constraint. constraint vectors defining are dependent follow elliptically symmetric distributions. Archimedean copula used to capture dependence among vectors. propose reformulation player. Under mild assumptions on players’ funct...

BACKGROUND An important issue in prediction modeling of multivariate data is the measure of dependence structure. The use of Pearson's correlation as a dependence measure has several pitfalls and hence application of regression prediction models based on this correlation may not be an appropriate methodology. As an alternative, a copula based methodology for prediction modeling and an algorithm...

In this research work, copula-based methodology is adopted to analyze the hydrological drought frequency. Standardized Runoff Index SRI was calculated using monthly-streamflow data for 50 years of two gauging stations in northern region Iraq. The duration and severity were extracted run theory. Three Archimedean family Gaussian copulas used compared select most appropriate copula model bivariat...

Copula analysis was created to explain the dependence of two or more quantitative variables. Due need for in-depth data involving complex variable relationships, there is always a new copula models with original features. As modern example, circular periodic types, trigonometric copulas are particularly attractive and recommended. This is, however, an underexploited topic. In this article, we p...

The purpose of this study is to propose a multi-attribute group decision-making (MAGDM) method for online education live platform selection based on proposed novel aggregation operators (AOs) under linguistic intuitionistic cubic fuzzy set (LICFS). First, the Archimedean copula and co-copula are extended handle information (LICFI) operational law variables (LICFVs) (EC) (ECC) given. In addition...

Title of dissertation: EXTENDING THE LÉVY PROCESSES TO MULTIASSET PRODUCTS PRICING Qing Xia, Doctor of Philosophy, 2006 Dissertation directed by: Professor Dilip B. Madan Department of Finance Lévy processes have gained great success in pricing single asset options. In this thesis, we introduce a methodology enabling us to extend the single asset pricing technique based on Lévy processes to mul...