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Two Sample Tests for High Dimensional Covariance Matrices
Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...
Persistent link: https://www.econbiz.de/10011259210
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Stationary Threshold Vector Autoregressive Models
Grynkiv, Galyna - 2018
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10012913405
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On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized
Persistent link: https://www.econbiz.de/10014237221
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On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
Persistent link: https://www.econbiz.de/10013463897
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014349681
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A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - Duke University, Department of Economics - 2010
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that … the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous volatility …
Persistent link: https://www.econbiz.de/10008549011
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Portfolio Analysis of Financial Market Risks by Random Set Tools
Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001
capital deficits. Several interesting properties related to random volatility of assets quality, probabilities of quality …
Persistent link: https://www.econbiz.de/10005037758
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Financial markets in continuous time
Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2007
This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...
Persistent link: https://www.econbiz.de/10010708856
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011156962
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011110289