Zhang (2008) defines the quotient correlation coefficient to test for dependence and tail dependence of bivariate random samples. He shows that asymptotically the test statistics are gamma distributed. Therefore, he called the corresponding test gamma test. We want to investigate the speed of...

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of...

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extends the results of the standard GARCH model to the class...

We proof that Hadamard differentiability in addition with usual assumptions on the loss function for M estimates implies differentiability in quadratic mean. Thus both concepts are exchangeable.

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

Li, Fang & Tian (1994) assert that special quasi-linear means should be preferred to the simple arithmetic mean for robustness properties. The strategy that is used to show robustness is completely detached from the concepts wellknown from the theory of robust statistics. Robustness of...

J.M. Keynes (1911) shows how distributions look like for which the arithmetic, the geometric and the harmonic mean are most probable values. We propose a general class of distributions for which the quasi-arithmetic means are ML-estimators such that these distributions can be transformed into an...

Keynes (1911) derived general forms of probability density functions for which the "most probable value" is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

In almost all studies concerned with the distribution of financial data skewness and leptokurtosis will be measured by the third and the fourth standardized moments. Additionally, there is the problem of some severe outliers in the data. Therefore, skewness and leptokurtosis will be...