Copulae have been recently proposed as a statistical tool to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal distributions that better fit the features of empirical financial and economic data. Our simulation studies...

This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and...

Discrete-time Affine Term Structure Models can be expressed in AR(1)- ARCH form, but it is not possible to get a non-negative variance equation only by restricting the parameters. In this paper we use a distribution assumption in order to assure the variance to be non-negative. We present a...

This study investigates market risk management methods for high dimensional portfolios composed of Russian stocks. We employ a general copula framework that allows for flexible marginal distributions, as well as different types of dependence represented by the copula function. We compare...

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009-09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...

This chapter reviews short selling practices in emerging markets and market performances during the global financial crisis. In contrast to developed markets, many emerging countries do not permit short selling, which can pose severe limitations on market liquidity. We compare market volatility,...

The main regulations of short selling in Russian stock markets are presented, and the importance of short selling practices is examined by comparing different asset allocation strategies. A new methodology based on the positive and negative potential for the price (or return) on the next day is...

Статья содержит вторую часть консультации, посвященной копула-функциям и их использованию в моделировании многомерных распределений вероятностей. В ней...

Проблематика копула-функций, их свойств, способов подбора под конкретные исходные данные, оценивания, прикладных возможностей крайне скупо представлена в...

The Deepwater Horizon incident demonstrated that most of the oil left is deep offshore or in other difficult to reach locations. Moreover, obtaining the oil remaining in currently producing reservoirs requires additional equipment and technology that comes at a higher price in both capital and...