Recently, Ross (2015) derived a theorem, namely the "Recovery Theorem", that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral distribution. However, recovering the real-world distribution involves...

The study aims at empirical verification of the quality of pension system clustering based on two dimensions: the extent of involvement of the state in the pension system and the level of voluntariness. To answer the question of whether these two dimensions actually determine the division into...

The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability density function. However, these models are not always able...

For a sequence of independent and identically distributed random vectors , we consider the conditional ordering of this random vectors with respect to the magnitudes of , where N is a p− variate continuous function defined on the support set of X and satisfying certain regularity conditions....

In this paper, by the use of Potential Theory, some representation results for multivariate functions from the Sobolev spaces (Ω), in terms of the double layer potential and the fundamental solution of Laplace's equation are pointed out. Applications for multivariate inequalities of Ostrowski...

In this paper, we propose an intuitive way to couple several dynamic time series models by inducing dependence between the so-called generalized errors of each model. This extends previous work for modelling dependance between innovations of stochastic volatility models. We consider...

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...

Increasing the accuracy of forecasting of mortality rates and improving the projection of life expectancy is an important consideration for insurance companies and governments since misleading predictions may result in insufficient funds for retirement and pension plans. The existence of long...

In this study, the joint p.f. of multivariate order statistics by marginal ordering of i.n.n.i.d. random vectors from discrete parents is examined. Furthermore, the continuous cases are derived from the discrete cases

We use multivariate random forests to compute out-of-sample forecasts of a vector of returns of four precious metal prices (gold, silver, platinum, and palladium). We compare the multivariate forecasts with univariate out-of-sample forecasts implied by random forests independently fitted to...