Showing 1 - 10 of 26
In this paper we analyse the properties of hierarchical Archimedean copulas. This classis a generalisation of the Archimedean copulas and allows for general non-exchangeable dependencystructures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.We...
Persistent link: https://www.econbiz.de/10008939787
Systemic weather risk is a major obstacle for the formation of private (non-subsidized) crop insurance. This paper explores the possibility of spatial diversication ofinsurance by estimating the joint occurrence of unfavorable weather conditions in dierentlocations. For that purpose copula...
Persistent link: https://www.econbiz.de/10008939796
Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure to forecast nonlinear ARMA model based simulated data and real data of financial returns. The forecasting ability of the recurrent SVR is compared with three competing methods,...
Persistent link: https://www.econbiz.de/10005860490
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10005860518
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10005860579
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...
Persistent link: https://www.econbiz.de/10005860756
A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...
Persistent link: https://www.econbiz.de/10005861000
In the ideal Black-Scholes world, financial time series are assumed 1) stationary (time homogeneous) and 2) having conditionally normal distribution given the past. These two assumptions have been widely-used in many methods such as the RiskMetrics, one risk management method considered as...
Persistent link: https://www.econbiz.de/10005861203
Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...
Persistent link: https://www.econbiz.de/10005861240
Predicting default probabilities is important for firms and banks to operate successfully and to estimate their specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so called Support Vector Machine (SVM) to...
Persistent link: https://www.econbiz.de/10005861245