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Gaussian Slug - Simple Nonlinearity Enhancement to the 1-Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness-of-Fit Tests on US and Thai Equity Da...
Nacaskul, PhD, DIC, CFA, Poomjai - 2016
financial theories. Its derived Gaussian copula ostensibly does away with the normality assumptions, only to retain the linear … (Pearson's) correlation measure implicit to said bivariate normal p.d.f. In financial modelling context, the Gaussian copula … which a derived copula density function quite naturally and parsimoniously captures a particular nonlinear dependency …
Persistent link: https://www.econbiz.de/10013009170
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
error terms. The inefficiency and noise terms being dependent, a copula function which reflects the dependence between them …
Persistent link: https://www.econbiz.de/10012816131
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Spouses' dependence across generations and pricing impact on reversionary annuities
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18
This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...
Persistent link: https://www.econbiz.de/10011507502
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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
McCloskey, Adam - 2012 - This version: October 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...
Persistent link: https://www.econbiz.de/10009660446
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...
Persistent link: https://www.econbiz.de/10011386124
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Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
McCloskey, Adam - 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...
Persistent link: https://www.econbiz.de/10013098304
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A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian; Lu, Yang - 2016
Persistent link: https://www.econbiz.de/10012196330
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Analysis of global competitiveness using copula-based stochastic frontier kink model
Paravee Maneejuk; Woraphon Yamaka; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 543-559). 2017
Persistent link: https://www.econbiz.de/10011801844
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - 2011
static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower …-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the … joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their …
Persistent link: https://www.econbiz.de/10009529224
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Modelling Dependence in Insurance Claims Processes with Lévy Copulas
Avanzi, Benjamin - 2011
in severity allowed by various Lévy copula models. Through the introduction of new Lévy copulas and comparison with the … Clayton Lévy copula, we show that Lévy copulas allow for a great range of dependence structures.Procedures for analysing the … fit of Lévy copula models are illustrated by fitting a number of Lévy copulas to a set of real data from Swiss workers …
Persistent link: https://www.econbiz.de/10013130378