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fundamental characteristic. We compare our empirical findings with a single Gaussian copula, a correlation-weighted average of … Gaussian copulas, the K-copula which directly addresses the nonstationarity of dependencies as a model parameter, and the … skewed Student's t-copula. The K-copula covers the empirical dependence structure on the local scale most adequately, whereas …
Persistent link: https://www.econbiz.de/10012842121
, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …
Persistent link: https://www.econbiz.de/10011309638
In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the assumption that returns on individual assets follow a joint normal distribution. We derive the conditional sampling distribution of the MV portfolio along with its mean and risk return...
Persistent link: https://www.econbiz.de/10012972754
This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...
Persistent link: https://www.econbiz.de/10013144110
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011313230
based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency …
Persistent link: https://www.econbiz.de/10009769897
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