Having observed a cluster of jumps produced by an exponential Hawkes process, we study and quantify the residual length of the cluster. We then formalize the stochastic increasingness property of the durations between two consecutive jumps, which strengthens their positive correlation. Finally...

Having observed a cluster of jumps in the discrete prices of a financial asset, we study and quantify the probability that the cluster is going to produce further jumps.Modeling the jump arrival times with an exponential Hawkes process, we provide some bounds for the future stochastic jump...

The correlations among assets returns is one of the key components in the construction of a diversified portfolio. It has been observed though that in time of great distress, when a drop in financial markets occurs, correlations tend to increase. As a consequence, the diversification effect is...

Parameter shrinkage is known to reduce fitting and prediction errors in linear models. When the variables are dummies for age, period, etc. shrinkage is more commonly applied to differences between adjacent parameters, perhaps by fitting cubic splines or piecewise-linear curves (linear splines)...

This paper compares the ability of the log periodic power law (LPPL) procedure and the supremum augmented Dickey Fuller (supremum ADF) tests to confirm or reject the presence of bubbles in various time series simulations. We develop a time stamping method for the LPPL procedure and derive a more...

The well-known subprime mortgage crisis, which began to manifest in early 2007, since when the effects of the speculative bubble begin to become evident from the increase in default rates in residential mortgages, has triggered a global crisis that has pushed various legislations over time to...

In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most popular risk measure in financial regulation. Although ES is - in addition to many other nice properties - a coherent...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

We consider an extension of the variance-gamma process implying that the linear drift rate of the process can switch suddenly by a jump. The value of jump is modeled by the multidimensional distribution, the jump time is simulated by the exponential distribution. Together with the simplest...

This paper introduces structured machine learning regressions for high-dimensional time series data potentially sampled at different frequencies. The sparse-group LASSO estimator can take advantage of such time series data structures and outperforms the unstructured LASSO. We establish oracle...