Showing 1 - 10 of 13
This paper delevops a tools to analyse the ordering of concordance of random vectors.
Persistent link: https://www.econbiz.de/10005843302
This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.
Persistent link: https://www.econbiz.de/10005843307
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...
Persistent link: https://www.econbiz.de/10005858398
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10005858728
We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...
Persistent link: https://www.econbiz.de/10005858871
We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a multivariate stationary process satisfactory strong mixing...
Persistent link: https://www.econbiz.de/10005859328
The aim of this paper is to accommodating the existing affine jump- diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.
Persistent link: https://www.econbiz.de/10005843429
We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...
Persistent link: https://www.econbiz.de/10005857779
This pap er intro duces a general framework for market mo dels, namedM arket M o del Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by showing that a set is admissible if and only ifthe...
Persistent link: https://www.econbiz.de/10005858304
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time-to-maturity and moneyness for which the approximation is...
Persistent link: https://www.econbiz.de/10005858590