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Independent component analysis via copula techniques
Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - 2008
Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...
Persistent link: https://www.econbiz.de/10003635977
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Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...
Persistent link: https://www.econbiz.de/10010259914
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Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015
), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …
Persistent link: https://www.econbiz.de/10011419593
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A closer look at stochastic frontier analysis in economics
Nguyen, Hung T. - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 3-28
and techniques such as copulas. …
Persistent link: https://www.econbiz.de/10012514881
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...
Persistent link: https://www.econbiz.de/10012816131
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Dealing with endogeneity in threshold models using copulas : an illustration to the foreign trade multiplier
Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - 2018
We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...
Persistent link: https://www.econbiz.de/10011802217
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …
Persistent link: https://www.econbiz.de/10010343909
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2014
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …
Persistent link: https://www.econbiz.de/10010405480
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Goodness-of-fit tests for copulas of multivariate time series
Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...
Persistent link: https://www.econbiz.de/10011654178
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From classes to copulas : wages, capital, and top incomes
Aaberge, Rolf; Atkinson, Anthony B.; Königs, Sebastian - 2018
Public debates about the rise in top income shares often focus on the growing dispersion in earnings and the soaring pay for top executives and financial-sector employees. But can the change in the marginal distribution of earnings on its own explain the rise in top income shares? Are top...
Persistent link: https://www.econbiz.de/10011859597