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Fitting high-dimensional copulae to data

Okhrin, Ostap - 2010

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

Persistent link: https://www.econbiz.de/10010270716

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - 2008

). Maximum Likelihood estimation requires high-dimensional numerical integration in order to marginalize the joint distribution …

Persistent link: https://www.econbiz.de/10010296304

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10010264093

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226

De copulis non est disputandum - Copulae: An overview

Härdle, Wolfgang Karl; Okhrin, Ostap - 2009

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

Persistent link: https://www.econbiz.de/10010274191

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10010316265

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10010308578

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10010281483

Detecting Serial Dependence in Tail Events

Diks, Cees - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10010324850

Sequential control of time series by functionals of kernel-weighted empirical processes under local alternatives

Steland, Ansgar - 2003

Motivated in part by applications in model selection in statistical genetics and sequential monitoring of financial data, we study an empirical process framework for a class of stopping rules which rely on kernel-weighted averages of past data. We are interested in the asymptotic distribution...

Persistent link: https://www.econbiz.de/10010306277

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