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Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block … joint and conditional risk measures that can be evaluated quickly and reliably. We apply the modeling framework to assess … the joint risk from multiple defaults in the euro area during the 2008-2012 financial and sovereign debt crisis. We …

Persistent link: https://www.econbiz.de/10011332950

Mixed density based copula likelihood

Azam, Kazim; Lucas, André - 2015 - This version: January 7, 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 simulation that our methodology performs similar to the...

Persistent link: https://www.econbiz.de/10010464789

Modeling financial sector joint tail risk in the Euro Area

Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of applied econometrics 32 (2017) 1, pp. 171-191

Persistent link: https://www.econbiz.de/10011688510

Tail behavior of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the … aretriggered by a general latent factor model involving systematic andidiosyncratic risk. We show explicitly how the tail behavior … of the distributionof these two risk factors relates to the tail behavior of the credit lossdistribution. Even if the …

Persistent link: https://www.econbiz.de/10011316891

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

Modeling dynamic volatilities and correlations under skewness and fat tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10011386468

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868