The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional probability distribution can be used for stress-testing by...

This paper presents a generalisation of quantile regressions to the multivariate case and its possible applications to Expected Shortfall estimation. The suggested methodology leverages on Pair-Copula Construction (PCC) and Extreme Value Theory (EVT).We extend the quantile regression model to...

In this article we study the evaluation of American options with stochastic volatility models and the optimal fish harvesting decision with stochastic convenience yield models, in the presence of drift ambiguity. From the perspective of an ambiguity averse agent, we transfer the problem to the...

We propose a new predictive model for large-dimensional realized covariance matrices. Using high-frequency data, we construct daily realized covariance matrices for the constituents of the S\&P 500 Index and a set of observable factors. Using a standard decomposition of the joint covariance...

We propose a dynamic clustering model for studying time-varying group structures in multivariate panel data. The model is dynamic in three ways: First, the cluster means and covariance matrices are time-varying to track gradual changes in cluster characteristics over time. Second, the units of...

Amazon Marketplace is an ecommerce platform where Amazon is a seller itself and also the platform host to third-party (3P) sellers. Business press has reported that Amazon uses complex pricing strategies for items it sells directly. However, there is limited academic and business press...