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ALRIGHT: Asymmetric LaRge-Scale (I) Garch withHetero-Tails

Paolella, Marc S. - Swiss National Centre of Competence in Research North … - 2010

It is well-known in empirical finance that virtually all asset returns, whether monthly,daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but oftensignificantly negatively skewed. However, the tail indices, or maximally existing moments ofthe returns, can...

Persistent link: https://www.econbiz.de/10009305108

Some Statistical Pitfalls in Copula Modeling for Financial Applications

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

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

Modelling Dynamic Portfolio Credit Risk

Rogge, Ebbe; Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

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

Constrained nonparametric dependence with application in finance and insurance

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

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 … interpretation of the patterns of non-linear dependence and suffers from the curse of dimensionality). A natural non …

Persistent link: https://www.econbiz.de/10005858851

Spread term structure and and default correlation

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The aim of this paper is to extend the results of Jarrow, Yu (2001) onthe spread term structures of corporate bonds. We first consider differentcharacterisations of these term structures, when the available informationcorresponds to the default histories of the firms. The approach is then...

Persistent link: https://www.econbiz.de/10005858852

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...

Persistent link: https://www.econbiz.de/10005858871

Model Risk in Copula Based Default Pricing Models

Gennheimer, Heinrich - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

.nancial industry as well as in academia. Preliminary results indicate the prime importance of specifying the factor dependence … reasons. Firstly, it is well known that the distribution functions of riskfactors have lower tail-dependence. Derivatives …

Persistent link: https://www.econbiz.de/10005859326

Nonparametric Estimation of Copulas for Time Series

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

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

Multivariate return decomposition: Theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolay - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011460618