Browsing Mathematics (Faculty of) by Subject "Copula"

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Analysis of Islamic Stock Indices

Mohammed, Ansarullah Ridwan (University of Waterloo, 2009-04-29)

In this thesis, an attempt is made to build on the quantitative research in the field of Islamic Finance. Firstly, univariate modelling using special GARCH-type models is performed on both the FTSE All World and FTSE ...
Copula Models for Multi-type Life History Processes

Diao, Liqun (University of Waterloo, 2013-08-30)

This thesis considers statistical issues in the analysis of data in the studies of chronic diseases which involve modeling dependencies between life history processes using copula functions. Many disease processes feature ...
A Copula-based Quantile Risk Measure Approach to Hedging under Regime Switching

Hu , Xin (University of Waterloo, 2015-10-16)

In this thesis, our work builds on the future hedging strategy presented by Barbi and Romagnoli (2014). The authors propose the optimal hedge ratio as the minimizer of a generic quantile risk measure (QRM), which includes ...