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Improving grid-based methods for estimating value at risk of fixed-income portfolios

Gibson, Michael S.; Pritsker, Matthew - 2000

Persistent link: https://www.econbiz.de/10001486259

A derivative based estimator for semiparametric index models

Donkers, Bas (contributor); Schafgans, Marcia (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001783545

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

Persistent link: https://www.econbiz.de/10014203492

Testing Copula Functions as a Method to Derive Bivariate Weibull Distributions

Quiroz-Flores, Alejandro - 2009

This paper presents copula functions as a method to derive bivariate distributions. Copula functions allow for the construction of previously unknown bivariate distributions based on known marginals. This paper uses Weibull marginals to construct six bivariate Weibull distributions suitable for...

Persistent link: https://www.econbiz.de/10014205328

Nonparametric Weighted Average Quantile Derivative

Lee, Ying-Ying - 2020

The weighted Average Quantile Derivative (AQD) is the expected value of the partial derivative of the conditional … by researchers and the density function of the covariates that is parallel to the average mean derivative in Powell …

Persistent link: https://www.econbiz.de/10014114113

Futures Hedge Profit Measurement Error-Correction Model vs. Regression Approach Hedge Ratios, and Data Error Effects

Ferguson, Robert - 2017

This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...

Persistent link: https://www.econbiz.de/10012953645

Pricing of Rainfall Derivatives Using Generalized Linear Models of the Daily Rainfall Process

Shah, Anand - 2017

the crop yield due to the rainfall weather event. A rainfall derivative could always be brokered as a rainfall insurance … contingent on the daily rainfall information as it becomes available.In this work, we price a rainfall derivative by modelling … total derivative payoff obtained using only the models with the gamma distribution assumption is comparable to that obtained …

Persistent link: https://www.econbiz.de/10012955178

Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

Guo, Ivan - 2016

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...

Persistent link: https://www.econbiz.de/10012980091

First Passage Time Covariance Matrix Estimators

Hong, Seok Young; Linton, Oliver B.; Zhao, Xiaolu - 2021

We devise a new high-frequency covariance matrix estimator based on price durations which is guaranteed to be positive-definite. Both non-parametric and parametric versions are proposed. A comprehensive Monte Carlo simulation shows that this class of estimators are less biased, more efficient,...

Persistent link: https://www.econbiz.de/10013236931

Fast Rank Reduction of Parametric Forward Rate Correlation Matrices

Lutz, Matthias - 2010

For efficiently calibrating the correlation structure of a LIBOR market model (LMM) to market data, low-rank correlation parameterizations are necessary. In this paper we present a new simple approach for generating low-rank low-parametric forms from given full-rank parameterizations

Persistent link: https://www.econbiz.de/10013135904