This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

Partial-least squares regression (PLS) is a statistical tool specifically designed to cope with problems like small datasets, missing values and the presence of multicollinearity . The paper proceeds first with a concise review of the PLS method.

In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilitiesand correlations. The model estimation is feasible in large dimensions and the positive definiteness of the conditional...

We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...

The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependenciesbetween different products or brands. The bundle chosen on the trip can be regarded as the result of a global utility function. More...