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Love and Death : A Freund Model with Frailty

Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013

dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …

Persistent link: https://www.econbiz.de/10010857712

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …

Persistent link: https://www.econbiz.de/10010958506

Efficient iterative maximum likelihood estimation of high-parameterized time series models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - Center for Financial Studies - 2014

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Persistent link: https://www.econbiz.de/10010958791

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10010548475

A Asymptotic Total Variation Test for Copulas

Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

Persistent link: https://www.econbiz.de/10010747006

VaR-implied tail-correlation matrices

Mittnik, Stefan - Center for Financial Studies - 2013

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Persistent link: https://www.econbiz.de/10010958605

Accurate Value-at-Risk forecast with the (good old) normal-GARCH model

Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...

Persistent link: https://www.econbiz.de/10010958670

Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomas A.; … - Center for Financial Studies - 2014

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links...

Persistent link: https://www.econbiz.de/10010958802

Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

Persistent link: https://www.econbiz.de/10005600451

Funding Liquidity Risk from A Regulatory Perspective

Gouriéroux, Christian; Heam, Jean-Cyprien - Centre de Recherche en Économie et Statistique … - 2013

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of its future equity value such as Value-at-Risk, or Expected Shortfall. In Basel 2 the uncertainty on this equity value is captured by means of changes in asset prices (market...

Persistent link: https://www.econbiz.de/10010747020