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We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
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It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...
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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 maximizing Shannon entropy to yield a proper copula such that known dependence … estimator can potentially outperform many other copula estimators in finite samples. …
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the copula-VAR model outperforms or at worst compares similarly to normal VAR models, keeping the same computational …
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Advanced tree-based estimation methods, such as random forest, are ensembles of regression trees that are built using random subsets of explanatory variables. However, because of the random selection process, relevant variables may not be considered in some regression trees, thereby reducing...
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