Search Results - subject:"Elliptical Distributions"

Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity

Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2012

We provide an in-depth analysis of the theoretical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. Under a multivariate elliptical distribution assumption, we present explicit expressions for the HJ-distance with a no-arbitrage constraint, the...

Persistent link: https://www.econbiz.de/10010292286

Stochastic dominance for law invariant preferences: The happy story of elliptical distributions

Vigna, Matteo Del - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012

We study the connections between stochastic dominance and law invariant preferences. Whenever the functional that represents preferences depends only on the law of the random variable, we shall look for conditions that imply a ranking of distributions. In analogy with the Expected Utility...

Persistent link: https://www.econbiz.de/10010734987

SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2012

Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while...

Persistent link: https://www.econbiz.de/10010556466

Portfolio separation properties of the skew-elliptical distributions

Framstad, Nils Chr. - 2011

The two fund separation property of the elliptical distributions is extended to the skew-elliptical and by adding a … number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended skew-elliptical … distributions are covered. …

Persistent link: https://www.econbiz.de/10010285602

Portfolio Separation Properties of the Skew-Elliptical Distributions

Christian Framstad, Nils - Økonomisk institutt, Universitetet i Oslo - 2011

Persistent link: https://www.econbiz.de/10008865954

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

On multivariate runs tests for randomness

Paindaveine, Davy - European Centre for Advanced Research in Economics and … - 2009

This paper proposes several extensions of the concept of runs to the multivariate setup, and studies the resulting tests of multivariate randomness against serial dependence. Two types of multivariate runs are defined: (i) an elliptical extension of the spherical runs proposed by Marden (1999),...

Persistent link: https://www.econbiz.de/10005611910

Robust linear functional mixed models

Riquelme, Marco; Bolfarine, Heleno; Galea, Manuel - In: Journal of Multivariate Analysis 134 (2015) C, pp. 82-98

In this paper we propose a linear functional model with normal random effects and elliptical errors, thus extending the standard normal models considered previously. The corrected score approach (Nakamura, 1990) is used for parameter estimation and the resulting estimators are shown to be...

Persistent link: https://www.econbiz.de/10011189580

Risk measures and their applications in asset management

Birbil, S.I.; Frenk, J.B.G.; Kaynar, B.; Noyan, N. - Erasmus University Rotterdam, Econometric Institute - 2008

numerical results. Keywords: Elliptical distributions; mean-risk; value-at-risk; conditional value-at-risk; portfolio … case of multivariate normally distributed returns. The class of elliptical distributions is a general class of … generalizes VaR and Expected Shortfall to the family of elliptical distributions. Embrechts et al. (2002) also analyze the class …

Persistent link: https://www.econbiz.de/10004972217

Risk measures and their applications in asset management

Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G.; Kaynar, B.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2008

Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model,...

Persistent link: https://www.econbiz.de/10010837973