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A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios
Chen, Xiangjin B.; Silvapulle, Param; Silvapulle, Mervyn - Department of Econometrics and Business Statistics, … - 2013
), and the way in which these measures have been affected by the global financial crisis. The semiparametric t-copula is … strong, after the global financial crisis. The semiparametric t-copula adequately forecasts the outer-sample VaR. These …
Persistent link: https://www.econbiz.de/10011141015
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Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error term in the multivariate linear regression model. The nonparametric part of the method treats the marginal distributions of the error term as unknown, and estimates them by...
Persistent link: https://www.econbiz.de/10005125276
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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
copula. Our developments and proofs make use of, and build upon, recent elegant results of Koul and Ling (2006) and Koul …
Persistent link: https://www.econbiz.de/10005149050
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Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
Silvapulle, Param; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2006
parametric copula can capture the dependence in the Singapore, Malaysia and Hong Kong markets for both pre- and post …
Persistent link: https://www.econbiz.de/10005087582