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Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...
Persistent link: https://www.econbiz.de/10013126023
Persistent link: https://www.econbiz.de/10009424806
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...
Persistent link: https://www.econbiz.de/10003550857
We propose optimal mean-variance dynamic hedging strategies in discrete time under a multivariate Gaussian regime-switching model. The methodology, which also performs pricing, is robust to time-varying and clustering risk observed in financial time series. As such, it overcomes the main...
Persistent link: https://www.econbiz.de/10013069998
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. Law of...
Persistent link: https://www.econbiz.de/10012826762
In this paper, we implement a multi-variate extension of Dybvig (1988) Payoff Distribution Model that can be used to replicate not only the marginal distribution of most hedge fund returns but also their dependence with other asset classes. In addition to proposing ways to overcome the hedging...
Persistent link: https://www.econbiz.de/10012706109
Persistent link: https://www.econbiz.de/10012249127
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law...
Persistent link: https://www.econbiz.de/10012293689
In this article we study the price of an American style option based on hedging the underlying assets at discrete time. Like its European style analog, the value of the option is not given in general by an expectation with respect to an equivalent martingale measure. We provide the optimal...
Persistent link: https://www.econbiz.de/10013132033
Trying to perform non-parametric change point tests for multivariate data using empirical processes is much more difficult that in the univariate case, since the limiting distribution depends on the unknown joint distribution function or its associated copula. In order to solve this problem, we...
Persistent link: https://www.econbiz.de/10012940223