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Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization

Guigues, Vincent - In: Statistics & Decisions 26 (2008) 2, pp. 109-143

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...

Persistent link: https://www.econbiz.de/10014621362

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Brechmann, Eike Christain; Czado, Claudia - In: Statistics & Risk Modeling 30 (2013) 4, pp. 307-342

. Vine copulas can fill this gap by benefiting from the rich class of existing bivariate parametric copula families …. Exploiting this in combination with GARCH models for the margins, we develop a regular vine copula based factor model for asset … of specific stocks, and we explicitly discuss how vine copula models can be employed for active and passive portfolio …

Persistent link: https://www.econbiz.de/10014622242

Correlation Products and Risk Management Issues

Mahoney, James - Federal Reserve Bank <New York, NY> - 1995

This article defines correlation products andexplores the problems they raise for risk management systemsin financial institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff) swap, and describes the much simpler...

Persistent link: https://www.econbiz.de/10005870345