Showing 1 - 7 of 7
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10011349525
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010365113
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...
Persistent link: https://www.econbiz.de/10010253468
In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...
Persistent link: https://www.econbiz.de/10011557306
In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional quantiles and global comovement analysis on conditional ranges for high-dimensional data. The proposed method, hereafter referred to as FActorisable Sparse Tail Event Curves, or...
Persistent link: https://www.econbiz.de/10011296776
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...
Persistent link: https://www.econbiz.de/10011598919
Persistent link: https://www.econbiz.de/10014436192