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On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates
Truchis, Gilles De; Keddad, Benjamin - HAL - 2014
both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …
Persistent link: https://www.econbiz.de/10010933834
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Mixed Density based Copula Likelihood
Azam, Kazim; Lucas, Andre - Tinbergen Instituut - 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10011255720
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Non-stationarity and meta-distribution
Guegan, Dominique - HAL - 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/10010750362
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Global and local stationary modelling in finance : theory and empirical evidence
Guegan, Dominique - HAL - 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/10010750670
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 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/10010750828
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Operational risk: A Basel II++ step before Basel III
Guegan, Dominique; Hassani, Bertrand - HAL - 2011
Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...
Persistent link: https://www.econbiz.de/10010635043
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Extreme values of random or chaotic discretization steps
Garcin, Matthieu; Guegan, Dominique - HAL - 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/10010635212
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Empirical Projected Copula Process and Conditional Independence An Extended Version
Frattarolo, Lorenzo; Guegan, Dominique - HAL - 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/10011026052
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Evaluating the Predictive Abilities of Semiparametric Multivariate Models
Panchenko, Valentyn - Society for Computational Economics - SCE - 2006
semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of … conditional kernel smoothers based on local linear estimator. The semiparametric copula model is compared with the parametric DCC …
Persistent link: https://www.econbiz.de/10005706216
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2009
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/10010738494