An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...

In the finite-dimensional setting, Li and Chen (1985) proposed a method for principal components analysis using projection-pursuit techniques. This procedure was generalized to the functional setting by Bali et al. (2011), where also different penalized estimators were defined to provide smooth...

Brown et al. (2006) derive a Stein-type inequality for the multivariate Student’s t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

A robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic distribution and influence function at elliptical distributions. Finite sample and robustness properties are studied and compared to other robust correlation estimators by...

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have...

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have...

We study strategic information transmission in a Sender-Receiver game where players' optimal actions depend on the realization of multiple signals but the players disagree on the relative importance of each piece of news. We characterize a statistical environment - featuring symmetric loss...

This article explores Bayesian joint models of event times and longitudinal measures with an attempt to overcome departures from normality of the longitudinal response, measurement errors, and shortages of confidence in specifying a parametric time-to-event model. We allow the longitudinal...

Diaconis and Ylvisaker (1979) give necessary conditions for conjugate priors for distributions from the natural exponential family to be proper as well as to have the property of linear posterior expectation of the mean parameter of the family. Their conditions for propriety and linear posterior...