Following Joe [, Is the simulated maximum likelihood estimation suitable for the copula-based stochastic frontier model with heterogeneity? Elliptical copulas (Gaussian & Student) and common Archimedean Copulas functions, Mixture model of multiple copula functions (up to 3 copula functions), Parametric and Non-parametric Tail Dependence Coefficient (TDC). ; Lucy, D.; Pollard, A.M.; Solheim, T. 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Maria, E.C.J. https://www.mdpi.com/openaccess. 23 = rotated Clayton copula (90 degrees) %���� Downside and upside VaR and CoVaR for returns on the US and Chinese stock sectors (During COVID-19). Battese, G.; Coelli, T. A model for technical inefficiency effects in a stochastic frontier production function for panel data. When I applied to the DC which has 6 countries, the errors and warnings came. Liu, J.; Songsak, S.; Aree, W.; Thierry, D. A trivariate Gaussian copula stochastic frontier model with sample selection. Accurately estimating and predicting chronological age from some anthropometric characteristics of an individual without an identity document can be crucial in the context of a growing number of forced migrants. Please note that many of the page functionalities won't work as expected without javascript enabled. Public Health 2023, 20, 1201. The models are estimated by a user-written program developed in R-software. The most prominent copula modification is a rotation of a given copula by either 90, 180 or 270 degrees. In fact, the assessment of age in children and adolescents is critical for children both to be protected appropriately, and to receive the social and health interventions they need and are entitled to. What we’re more accustomed to as a dependency between variables is linear correlation. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. `224` = rotated Tawn type 2 copula (90 degrees) Note that from the first issue of 2016, this journal uses article numbers instead of page numbers. The values in brackets are standard errors. family =23 rotated Clayton copula (90 degrees) family =24 rotated Gumbel copula (90 degrees) family = 0 5 Frank copula family =26 rotated Joe copula (90 degrees) Two parameter Archimedean copulas: (parameters: par, par2) family =27 rotated BB1 copula (90 degrees) family =28 rotated BB6 copula (90 degrees) family =29 rotated BB7 copula (90 degrees) J. Environ. Please try enabling it if you encounter problems. Also, you can set another selection criteria supplied in the . Feature Papers represent the most advanced research with significant potential for high impact in the field. The impact of COVID-19 on stock markets. Agriculture. Find centralized, trusted content and collaborate around the technologies you use most. Disclaimer/Publisher’s Note: The statements, opinions and data contained in all publications are solely In contrast, Consumer Discretionary and Telecommunication exhibit a positive lower tail dependence during the bearish market and upper tail independence during the bullish market as given by TVP Clayton copula, indicating that US and Chinese Consumer Discretionary and Telecommunication sectors co-crash during the crash period. You can skip this introductory code and report to the next section. progress in the field that systematically reviews the most exciting advances in scientific literature. Lyócsa Š., Molnár P. Stock market oscillations during the corona crash: The role of fear and uncertainty. The data are compiled from Bloomberg. Data vectors of equal length with values in \([0,1]\). The data used in this study were collected and published in a previous study [. Production efficiency of Jasmine rice farmers in northern and northeastern Thailand. Dental and Skeletal Imaging in Forensic Age Estimation: Disparities in Current Approaches and the Continuing Search for Optimization. Ferrante, L.; Skrami, E.; Gesuita, R.; Cameriere, R. Bayesian calibration for forensic age estimation. Minimum number of pairings that make all quadruples. Hao J., He F. Univariate dependence among sectors in Chinese stock market and systemic risk implication. ; Schmidt, P. Formulation and estimation of Stochastic Frontier Production function models. /N 100 When we observe rotated Clayton copula's simulated points in the second and third graphs, we see patterns which can't be reproduced when using linear correlation, with actual danger zones: wherever linear correlation can't go for certain. logical vector of length \(d\) ; Mzyece, A.; Masasi, B.; Obiekwe, N.J.; Anumudu, O.O. ; Wiboonpongse, A.; Liu, J. Modelling volatility and dependency of agricultural price and production indices of Thailand: Static versus time-varying copulas. The projections were used to determine dental and skeletal maturation, assessed respectively by the sum of open apices of the seven left permanent mandibular teeth (S) [, The relationship between chronological age and the hand–wrist maturation index was almost linear, as shown by Cameriere [, According to Sklar’s theory, the bivariate probability model can be characterized by the marginal distributions of, Within a Bayesian context, we used four different probability models for, It should be noted that the joint distribution constructed with the Gaussian copula in the scenario (A) above corresponds to the bivariate normal distribution (Nelsen [. We observe that the average returns are negative for all markets (except for Consumer Staples, Information Technology, Telecommunication, Health Care, and US Consumer Discretionary). 4 = Gumbel copula Terminology for the use of the word "your" in a call to action? Numerical; weights for each observation (optional). 33 = rotated Clayton copul a (270 degrees) 34 = ro tated Gumbel copula (270 . This study quantifies the downside/upside spillovers from the US to Chinese markets (Panel A of Tables 6 Li Y., Zhuang X., Wang X., Wang J., Zhang W. Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks. “flipped”; by default, all the components are flipped, Masset, C. Age Estimation on the basis of cranial sutures. Estimating the dimension of a model. `38` = rotated BB6 copula (270 degrees) Please let us know what you think of our products and services. Baker S.R., Bloom N., Davis S.J., Kost K., Sammon M., Viratyosin T. The Unprecedented Stock Market Reaction to COVID-19. The stochastic frontier model with heterogeneity, namely, the inefficiency frontier model, still assumes independent error components. Asking for help, clarification, or responding to other answers. For example, if we let Sales be your Therefore, caution is necessary when interpreting results from the conventional SFM as the results may be biased, incomplete and/or inadequate. The Energy, Information Technology, and Materials sectors exhibit asymmetric tail dependence as defined by TVP-SJC copula. Smith, M.D. 16 = rotated Joe copula (180 degrees; survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; survival BB1'') ; Schmidt, P. One-step and two-step estimation of the effects of exogenous variables on technical efficiency levels. new("tawnT1Copula", ...), or through the explicit constructors When linear correlation is close to 1, Sales and Advert mostly vary in the same direction. A pathway for multivariate analysis of ecological communities using copulas. If familyset = NA (default), selection among all possible families is To review, open the file in an editor that reveals hidden Unicode characters. If TRUE, all rotations of the families in However, if this information is available, both indices should be used in combination to achieve a higher level of accuracy in age estimation. It was conducted in conformity with the regulations on data management of the Italian law on privacy (Legislation Decree 196/2003 amended by Legislation Decree 101/2018). articles published under an open access Creative Common CC BY license, any part of the article may be reused without [. The first mixture Copula contains the Gumbel Copula and its rotated version, whereas the second contains the Clayton Copula and the rotated Clayton. In order to be human-readable, please install an RSS reader. and K.L. Nikoloulopoulos, A.K. is chosen, the penalty for two parameter families is stronger than when Meric I., Ratner M., Meric G. The co-movements of sector index returns in the world’s major stock markets during bull and bear markets: Portfolio diversification implications. Aykroyd, R.G. How to report an author for using unethical way of increasing citation in his work? >> Ashraf B.N. 2022. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. You are accessing a machine-readable page. Objects from the Class. For (2020) in which they show significant bi-directional spillovers between Asian, European, and American stock markets. J. Environ. All proposed copula models outperformed the independent one with errors distributed by both Equations (A2) and (A3). What are consequences of ignoring dependent error components and/or heterogeneity in stochastic frontier model? MDPI and/or Rynkiewicz, A.; Bar-Yosef, O.; Smith, P. Age estimation using wrist radiography: A Bayesian approach. 1, Fig. Annals of This page shows the derivation of pdf , cdf , h- and v-functions for clockwise rotation, which is the default setting of this package. We select this period to stress on the COVID-19 effects. So, you should try another copula family. 5We notice that the standardized residuals are used for time-varying parameter (TVP) copula estimations which are generated from best-fitted marginal model ARMA (p, q)-TGARCH (1, 1). Mehdi, R.E. Jiang, W.; Zhang, H.; Lin, Y. ; software, J.L. © 1996-2023 MDPI (Basel, Switzerland) unless otherwise stated. 7 The Clayton copula is the best fitted for the dependence structure of the banking . https://doi.org/10.3390/ijerph20021201, Faragalli, Andrea, Edlira Skrami, Andrea Bucci, Rosaria Gesuita, Roberto Cameriere, Flavia Carle, and Luigi Ferrante. [, A limitation of this study is that the findings may be not representative of different populations, and the specific characteristics of the sample may have influenced the main conclusions. the linear correlation between Sales and Advert is (very) roughly, the frequency at which they both vary in the same direction, when put on the same scale. The mixture permits for modeling of both upper and lower tail dependence hence allowing for asymmetric dependence structures to be catered . Figure 6.5 Simulated financial returns for Gaussians combined with the Clayton copula. Anwar, M. Cost efficiency performance of Indonesian banks over the recovery period: A stochastic frontier analysis. Third, we fixed R = 200 and maximized the simulated log-likelihood using the BFGS algorithm in the R statistical software for six models: the traditional SFM or copula-based SFM with the assumption of independence in error components (Model 1), the traditional SFM with heterogeneity or independent copula-based SFM with heterogeneity (Model 2), the Gaussian copula-based SFM with mis-specified dependent error components (Model 3), the Gaussian copula-based SFM with heterogeneity and mis-specified dependent error components (Model 4), the Clayton copula-based SFM (Model 5), and the Clayton copula-based SFM with heterogeneity and dependent error components (Model 6). Using Akaike information criteria (AIC), we find that the time-varying Copula outperforms the time-invariant Copula for all cases.5 Faragalli, A.; Skrami, E.; Bucci, A.; Gesuita, R.; Cameriere, R.; Carle, F.; Ferrante, L. Combining Bayesian Calibration and Copula Models for Age Estimation. /Filter /FlateDecode several techniques or approaches, or a comprehensive review paper with concise and precise updates on the latest Statistics 6 (2), 461-464. Insect Behavior Insect Behavior From mechanisms to ecological and evolutionary consequences ED I T ED BY Alex Córdoba-Aguilar Universidad Nacional Autónoma de México, México Applying this kind of mixture Copulas has some advantages. Impact of environmental production conditions on productivity and efficiency: The case of wheat producers in Bangladesh. Age estimation for living individuals is a common problem in legal medicine. Risk spillover between US and Chinese stock sector pairs (Pre-COVID-19 pandemic). The package supports the use of mixture models defined as convex combinations of copulas. The downside CoVaR for the returns of the US equity market given an extreme downward trend in returns of an equity market at a confidence level of(1 − β) or β-quantile of the conditional distribution of rtU is as follows: Likewise, the upside CoVaR is as follows: Combining the copula measure, CoVaR in Equations (3)–(4) as follows: where FrtU and FrtC are the marginal distributions of US and Chinese equity market returns, respectively. Song, F.; Yu, Y. Modelling energy efficiency in China: A fixed-effects panel stochastic frontier approach. of all the fitted models. This type of aDepartment of Management Sciences, COMSATS University Islamabad, Attock Campus, Pakistan, bDepartment of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman, cInstitute of Business Research, University of Economics Ho Chi Minh City, Vietnam, dInstitute of Business Research and CFVG, University of Economics Ho Chi Minh City, Vietnam. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. ). 5 = Frank copula `26` = rotated Joe copula (90 degrees) Do magic users always have lower attack bonuses than martial characters? Brechmann, E.C. Author to whom correspondence should be addressed. the fit statistics log-likelihood, AIC, and BIC. copulas. For example, the quadrant [-4, -2] x [-2, 0] in the last graph. A “rotated” or “reflected” copula object of class "rotCopula". The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. These are wrappers to functions from . Clayton¶ class copulae.archimedean.ClaytonCopula (* args, ** kwds) [source] ¶ The Clayton copula is a copula that allows any specific non-zero level of (lower) tail dependency between individual variables. Possible future developments relate to the use of additional individual characteristics as predictors, such as sex or other anthropometric measurements, which could lead to an improved accuracy in age estimation. All orthopantomography and wrist x-ray images were in digital format. 33 = rotated Clayton copula (270 degrees) 34 = rotated Gumbel copula (270 degrees) 36 = rotated Joe copula (270 degrees) 37 = rotated BB1 copula (270 degrees) 38 = rotated BB6 copula (270 degrees) 39 = rotated BB7 copula (270 degrees) 40 = rotated BB8 copula (270 degrees) correction. %% % Now taking a look at a couple of time-varying copulas ## Now, a reflected Clayton copula: r10C <- rotCopula(claytonCopula(3), . Commonly, correlation. The Clayton copula captures lower tail dependence, and the Gumbel copula captures upper tail dependence. Ethical review and approval were waived for this study. We use cookies on our website to ensure you get the best experience. 2022; 12(8):1078. Meric et al. What to do? The COVID-19 pandemic has resulted in over 87.6 million confirmed cases and over 1.9 million deaths globally in January 2021, according to the World Health Organization (WHO). For example, the quadrant [-4, -2] x [-2, 0] in the last graph. 18 = rotated BB6 copula (180 degrees; survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; survival BB7'') (2020) find that the COVID-19 pandemic has negative impacts on stock market returns in the short term. The evolving dependence among US and Chinese sectors is explained by the occurrence of financial shock events, the frequent changes in the regional and global business cycles, the trade war between the US and China as well as the global health crisis. r90TawnT1Copula() and r270TawnT1Copula() a data frame containing the log-likelihoods, AICs, and BICs S4-class representation of the Tawn Copula family of type 1 and rotated It has a considerable importance in the context of immigration, particularly for undocumented individuals seeking asylum in European countries. stream -A new website section for the package, created with pkgdown, and including documentation + examples + loads of graphs: https://techtonique.github.io/. The combination of these two aspects becomes possible due to the implementation of a complex statistical tool as the copula. It is also not clear if when the inefficiency effect (i.e., heterogeneity) is absent in the copula-based SFM, the parameter and efficiency estimates remain correct. This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. The graphical evidence confirms the results of Tables 6 and ​and7.7. The traditional SFM with heterogeneity also has similar consequences. It was conducted in conformity with the regulations on data management of the Italian law on privacy (Legislation Decree 196/2003 amended by Legislation Decree 101/2018). Section 3 discusses the empirical results. ; Verstraete, K.L. Therefore, the simulation results of the Model 5 can reflect the consequences of ignoring dependency in error components only. The summary of copula models and their tail dependences. Following the simulation experiments of Wei et al. For each family, the parameters are estimated by maximum likelihood. permission provided that the original article is clearly cited. Meeusen, W.; Broeck, V.D. Equity investors and portfolio managers should be cautious on the effects of a global health crisis when they build their portfolios. It’s worth noticing that ESGtoolkit is not destined to evolve at a great pace. The US stock sectors are generally riskier than the Chinese markets. Examples. xڍ�Mo�8���slu4C����6�6E�"H��Y[I�ؖ!ۋb��#ۉ)+��/�Η%3e�S����,���Ć��Ė��� у�G�����X�ɠ82�O&7Pȸ��!�d,YX���c2%�‘e�lFV(k�YG9"�3rb ���Β�Y^P�x� Richmond, J. Estimating the Efficiency of Production. Please let us know what you think of our products and services. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. copulas corresponds to lower tail dependence of survival copulas, and vice versa. Comparing the forecasts from our copula-based method with predictions from an independent model and two single predictor models, we showed that the accuracy increased.
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