Showing 81 - 90 of 58,658
All too often, measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However, this may not capture all facets of reality. This paper studies empirical dependencies of daily stock returns by their pairwise copulas. We investigate in...
Persistent link: https://www.econbiz.de/10012842121
Traditional regression models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10012958188
The Azzalini skew-t distributions are popular because of their theoretical foundation and the availability of computational methods in the R package sn. One difficulty with this skew-t family is that the elements of the expected information matrix do not have closed form analytic formulas. Thus,...
Persistent link: https://www.econbiz.de/10012910323
The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not...
Persistent link: https://www.econbiz.de/10012970310
This paper answers two research questions: what is the appropriate modeling tool for NPL study? and whether the NPL rates in Thailand show improving or deteriorating trend? NPL is of interests to management decision makers because it serves as an indicator for assessing risk in commercial loans....
Persistent link: https://www.econbiz.de/10013002018
Value-at-Risk (VaR) has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule (SRR). We...
Persistent link: https://www.econbiz.de/10012706324
EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In this paper, we present the foundations of such a...
Persistent link: https://www.econbiz.de/10013219623
We use information in higher-order moments to identify aggregate supply and aggregate demand shocks for the U.S. economy. Traditional methods based on sign restrictions and/or second-order moments yield only “set” or “interval” identification but higher-order moments are shown to...
Persistent link: https://www.econbiz.de/10013223843
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A Generalized Method of...
Persistent link: https://www.econbiz.de/10013183733
Investors take for granted that returns are recorded in units of time, such as days, months, or years. Yet some time periods include unusual events that reasonably cause asset prices to change, whereas other periods are relatively free of unusual events, in which case returns mostly reflect...
Persistent link: https://www.econbiz.de/10013290072