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Empirical Projected Copula Process and Conditional Independence an Extended Version.

Frattarolo, Lorenzo; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

Persistent link: https://www.econbiz.de/10010703394

Extreme values of random or chaotic discretization steps.

Garcin, Matthieu; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...

Persistent link: https://www.econbiz.de/10010551753

Non-stationarity and meta-distribution.

Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10005510618

Pricing bivariate option under GARCH processes with time-varying copula.

Zhang, Jing; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10005510619

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.

Guégan, Dominique; Zhang, Jing - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10005670883

Global and local stationary modelling in finance : theory and empirical evidence.

Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...

Persistent link: https://www.econbiz.de/10005670891