Showing 1 - 10 of 98
skill returns that may actually accrue from market risk factors and illiquidity. Recent innovations in hedge fund …
Persistent link: https://www.econbiz.de/10009226946
In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in … financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well … as in the design of time-dependent copulas. …
Persistent link: https://www.econbiz.de/10005858145
In this paper we present a model to price and hedge basket credit derivatives andcollateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows a specification of the joint dynamics of credit spreads and default intensities, including a...
Persistent link: https://www.econbiz.de/10005858551
In this paper we provide a convenient econometric framework for the analy-sis of nonlinear dependence in financial applications. We introduce models withconstrained nonparametric dependence, which specify the conditional distrib-ution or the copula in terms of a one-dimensional functional...
Persistent link: https://www.econbiz.de/10005858851
in details the links between default correlation and jumps in shortterm spreads, and how these phenomenons depend on the …, ceux-ci pouvant ou non varier dans le temps. Nous discutons particulièrment les liens entre la corrélation de défaut et les …
Persistent link: https://www.econbiz.de/10005858852
This project identi.es and quanti.es two potential sources of model riskin the valuation of basket credit derivatives. The frameworkemployed is that of a latent variable model with factor structure which enjoys a great popularity in the .nancial industry as well as in academia. Preliminary...
Persistent link: https://www.econbiz.de/10005859326
We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate … margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a …
Persistent link: https://www.econbiz.de/10005859328
We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...
Persistent link: https://www.econbiz.de/10011108056
This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...
Persistent link: https://www.econbiz.de/10011109911
liberalize the movement flowing of their capitals. As the linear correlation is unable to capture nonlinear relation between …
Persistent link: https://www.econbiz.de/10011110477