Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

In semiparametric models it is a common approach to under-smooth the nonparametric functions inorder that estimators of the finite dimensional parameters can achieve root-n consistency. The requirementof under-smoothing may result as we show from inefficient estimation methods or technical...

Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...

Let W denote a family of probability distributions with parameter space t, and WG be a subfamily of W depending on a mapping G : O -- t. Extremum estimations of the parameter vector v e O are considered. Some sufficient conditions are presented to ensure the uniqueness with probability one. As...

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

Functional data analysis (FDA) has become a popular technique in applied statistics.In particular, this methodology has received considerable attention in recent studiesin empirical finance. In this talk we discuss selected topics of functional principalcomponents analysis that are motivated by...