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Random matrix models for datasets with fixed time horizons

Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781

Persistent link: https://www.econbiz.de/10012262618

New HEAVY models for fat-tailed realized covariances and returns

Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657

Persistent link: https://www.econbiz.de/10012249228

Modeling dependence in high dimensions with factor copulas

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154

Persistent link: https://www.econbiz.de/10011704143

Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10011610652

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...

Persistent link: https://www.econbiz.de/10012019121

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187

Persistent link: https://www.econbiz.de/10011787712

Conditional fixed income correlations : skews and straddles

Aydemir, Zava - In: The journal of fixed income : JFI 30 (2021) 3, pp. 83-107

Persistent link: https://www.econbiz.de/10012423029

On spectral distribution of high dimensional covariation matrices

Heinrich, Claudio; Podolskij, Mark - 2014

Persistent link: https://www.econbiz.de/10010442408

Distributionally Robust Group Testing with Correlation Information

Long, Daniel Zhuoyu; QI, Jin; Sun, Yu; Zhang, Aiqi - 2022

model takes into account the correlation of subjects' infection, which makes the joint probability distribution of … our study to the case where correlation only partially exists in the whole population. We focus on a two-cluster case and … positively correlated is only more efficient when the rate of prevalence is low, and the correlation coefficient is high …

Persistent link: https://www.econbiz.de/10014240677

Correlation versus co-fractality : evidence from foreign-exchange-rate variances

Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248594