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Independent Component Analysis Via Copula Techniques

Chen, Ray-Bing - 2017

Independent component analysis (ICA) is a modern factor analysis tool de- veloped 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/10012966256

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

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

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

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

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

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

Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

Dalessandro, Antonio - 2020

There is now an increasingly large number of proposed concordance measures available to capture, measure and quantify different notions of dependence in stochastic processes. However, evaluation of concordance measures to quantify such types of dependence for different copula models can be...

Persistent link: https://www.econbiz.de/10012855095

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

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526