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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which …, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …
Persistent link: https://www.econbiz.de/10011437891
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Tail event driven ASset allocation : evidence from equity and mutual funds’ markets
Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10011349525
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Analysis of deviance in generalized partial linear models
Härdle, Wolfgang; Huang, Li-shan - 2013
We develop analysis of deviance tools for generalized partial linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit an additivity property that reduces to ANOVA decompositions in the Gaussian...
Persistent link: https://www.econbiz.de/10009745915
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen E.; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang; Nasekin, Sergey; Lee, David Kuo Chuen; … - 2014
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010365113
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TEDAS - Tail Event Driven Asset Allocation
Nasekin, Sergey - 2020
In this study, we develop a two-step asset allocation strategy that identifies the tail risk of a benchmark asset and uses multi-moment dynamic portfolio selection to account for possible conditional non-normality of portfolio returns. The TEDAS - Tail Event Asset Allocation strategy is based on...
Persistent link: https://www.econbiz.de/10012823196
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Quantifying Systemic Risk with Factor Copulas
Nasekin, Sergey; Chen, Cathy Yi‐Hsuan - 2021
We propose a tail dependence based network approach to study systemic risk in a network of systemically important financial institutions (SIFIs). We utilize a flexible factor copula-based method which allows us to measure the level of extreme risk in a portfolio when dependence is driven by one...
Persistent link: https://www.econbiz.de/10013223205
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The systemic risk of central SIFIs
Chen, Cathy Yi-Hsuan; Nasekin, Sergey - 2017
Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic...
Persistent link: https://www.econbiz.de/10011710562
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Composite Quantile Regression for the Single-Index Model
Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10010609988
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Composite Quantile Regression for the Single-Index Model
Fan, Yan - 2017
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10012966535