scholarly journals Gaussian Copula Marginal Regression Models in an Analysis of Patients Undergoing Surgical Treatment for Fractures in the Toracolumbar Column

2016 ◽  
Vol 18 (2) ◽  
Author(s):  
Ricardo Rasmussen Petterle ◽  
André Luis Sebben ◽  
Javier Soler Graells
Keyword(s):  
Surgical Treatment ◽  
Regression Models ◽  
Gaussian Copula ◽  
Marginal Regression

scholarly journals Revisiting Gaussian copulas to handle endogenous regressors

2021 ◽  
Author(s):  
Jan-Michael Becker ◽  
Dorian Proksch ◽  
Christian M. Ringle
Keyword(s):  
Regression Models ◽  
Statistical Power ◽  
Multilevel Models ◽  
Gaussian Copula ◽  
Simulation Studies ◽  
Validity Of Results ◽  
Endogenous Regressors ◽  
Copula Approach ◽  
Original Presentation ◽  
And Performance

AbstractMarketing researchers are increasingly taking advantage of the instrumental variable (IV)-free Gaussian copula approach. They use this method to identify and correct endogeneity when estimating regression models with non-experimental data. The Gaussian copula approach’s original presentation and performance demonstration via a series of simulation studies focused primarily on regression models without intercept. However, marketing and other disciplines’ researchers mainly use regression models with intercept. This research expands our knowledge of the Gaussian copula approach to regression models with intercept and to multilevel models. The results of our simulation studies reveal a fundamental bias and concerns about statistical power at smaller sample sizes and when the approach’s primary assumptions are not fully met. This key finding opposes the method’s potential advantages and raises concerns about its appropriate use in prior studies. As a remedy, we derive boundary conditions and guidelines that contribute to the Gaussian copula approach’s proper use. Thereby, this research contributes to ensuring the validity of results and conclusions of empirical research applying the Gaussian copula approach.

scholarly journals On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1859
Author(s):  
Jong-Min Kim ◽  
Seong-Tae Kim ◽  
Sangjin Kim
Keyword(s):  
Gold Price ◽  
Gaussian Copula ◽  
Time Varying ◽  
Conditional Correlation ◽  
Copula Models ◽  
Marginal Regression ◽  
High Volatility ◽  
Asymmetric Garch ◽  
Relationship Of ◽  
The Relationship

This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Under the high volatility financial situation such as the COVID-19 pandemic occurrence, there exist a computation difficulty to use the traditional DCC method to the selected cryptocurrencies. To solve this limitation, GC-DCC and GCNA-DCC are applied to investigate the time-varying relationship among Bitcoin, Gold, and S&P 500. In terms of log-likelihood, we show that GC-DCC and GCNA-DCC are better models than DCC and NA-DCC to show relationship of Bitcoin with Gold and S&P 500. We also consider the relationships among time-varying conditional correlation with Bitcoin volatility, and S&P 500 volatility by a Gaussian Copula Marginal Regression (GCMR) model. The empirical findings show that S&P 500 and Gold price are statistically significant to Bitcoin in terms of log-return and volatility.

Estimation of Marginal Regression Models with Multiple Source Predictors

2011 ◽  
pp. 291-307
Author(s):  
Heather J. Litman ◽  
Nicholas J. Horton ◽  
Bernardo Hernández ◽  
Nan M. Laird
Keyword(s):  
Regression Models ◽  
Multiple Source ◽  
Marginal Regression
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