Narrow search
Showing 1 - 10 of 6,429
Cover Image
Independent component analysis via copula techniques
Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - 2008
Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...
Persistent link: https://www.econbiz.de/10003635977
Cover Image
Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...
Persistent link: https://www.econbiz.de/10010259914
Cover Image
Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015
), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …
Persistent link: https://www.econbiz.de/10011419593
Cover Image
Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...
Persistent link: https://www.econbiz.de/10012816131
Cover Image
Dealing with endogeneity in threshold models using copulas : an illustration to the foreign trade multiplier
Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - 2018
We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...
Persistent link: https://www.econbiz.de/10011802217
Cover Image
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …
Persistent link: https://www.econbiz.de/10010343909
Cover Image
Goodness-of-fit tests for copulas of multivariate time series
Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...
Persistent link: https://www.econbiz.de/10011654178
Cover Image
Partial identification by extending subdistributions
Torgovitsky, Alexander - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 105-144
I show that sharp identified sets in a large class of econometric models can be characterized by solving linear systems of equations. These linear systems determine whether, for a given value of a parameter of interest, there exists an admissible joint distribution of unobservables that can...
Persistent link: https://www.econbiz.de/10011994834
Cover Image
Efficient Algorithms for Basket Default Swap Pricing with Multivariate Archimedean Copulas
Choe, Geon Ho - 2009
copulas and nested Gumbel copulas. We establish more realistic dependence structure than the existing copula models for credit … Archimedean copulas. To justify efficiency and accuracy of our proposed algorithms, we demonstrate several numerical examples …
Persistent link: https://www.econbiz.de/10013159241
Cover Image
Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas : Part A
Dalessandro, Antonio - 2020
We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function to a generalized Gaussian copula function. This...
Persistent link: https://www.econbiz.de/10012855323