International Journal of Transport Economics / Rivista internazionale di economia dei trasporti, Vol. 38, No. 3 (OCTOBER 2011), pp. 337-362 (26 pages) In this paper, in the spirit of a tour-based ...

Abstract: Many reliability models of systems with dependent components have been developed in order to assess the reliability of such systems. In particular, a copula that can build various ...

Since the pioneering work of Markowitz on portfolio theory in 1950s, numerous developments have advanced to improve the original technique of portfolio optimisation. Current research on the topic ...

Abstract: Statistical dependence is one of the significant design issues in various radar systems for inference tasks including detecting an activity of interest or estimating states or parameters for ...

We propose a new archimedean copula model for bivariate survival data that is motivated by Dabrowska's (1988) measure of association. The model can represent negatively correlated or moderately ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...