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Recovering the most entropic copulas from preliminary knowledge of dependence
Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21
This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...
Persistent link: https://www.econbiz.de/10011505976
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Large deviations theorems for optimal investment problems with large portfolios
Chu, Ba; Knight, John L.; Satchell, Stephen - In: European journal of operational research : EJOR 211 (2011) 3, pp. 533-555
Persistent link: https://www.econbiz.de/10008933377
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The most entropic canonical copula with an application to "style" investment
Chu, Ba; Satchell, Stephen - In: Asymmetric dependence in finance : diversification, …, (pp. 221-262). 2018
Persistent link: https://www.econbiz.de/10011978516
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Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
Chu, Ba - In: Annals of finance 8 (2012) 1, pp. 97-122
Persistent link: https://www.econbiz.de/10009510575
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Recovering copulas from limited information and an application to asset allocation
Chu, Ba - In: Journal of banking & finance 35 (2011) 7, pp. 1824-1842
Persistent link: https://www.econbiz.de/10009247601
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Approximation of asymmetric multivariate return distributions
Chu, Ba - In: Asia-Pacific financial markets 19 (2012) 3, pp. 293-318
Persistent link: https://www.econbiz.de/10009660650
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Time-specific average estimation of dynamic panel regressions
Chu, Ba - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 4, pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
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Spurious regressions of stable AR(p) processes with structural breaks
Chu, Ba; Kozhan, Roman - 2009
Persistent link: https://www.econbiz.de/10009428003
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k-nearest neighbor estimation of inverse-density-weighted expectations with dependent data
Chu, Ba; Jacho-Chávez, David T. - In: Econometric theory 28 (2012) 4, pp. 769-803
Persistent link: https://www.econbiz.de/10009669745
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Modeling the contemporaneous duration dependence for high-frequency stock prices
Chu, Ba; Voia, Marcel-Christian - In: Finance research letters 7 (2010) 3, pp. 148-162
Persistent link: https://www.econbiz.de/10009272759