Search Results - subject:"Wishart"

The conventional impulse response prior in VAR models with sign restrictions

Inoue, Atsushi; Kilian, Lutz - 2025

Persistent link: https://www.econbiz.de/10015406612

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models

Fonseca, José da; Wong, Patrick - In: Insurance : mathematics and economics 123 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015432101

Markov-Modulated and Shifted Wishart processes with applications in derivatives pricing

Faraz, Behzad-Hussein Azadie; Arian, Hamid; Escobar, Marcos - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-31

The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for … volatility and correlation. These features tend to increase substantially during crisis periods, more than predicted by a Wishart … dynamic. Moreover, the variance processes implied by the Wishart, similar to CIR models, have no buffer away from zero. In …

Persistent link: https://www.econbiz.de/10015435445

Pricing guaranteed annuity options in a linear-rational Wishart mortality model

Fonseca, José da - In: Insurance : mathematics and economics 115 (2024), pp. 122-131

Persistent link: https://www.econbiz.de/10015066733

Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024

Persistent link: https://www.econbiz.de/10015072281

Moments of a Wishart matrix

Hillier, Grant H.; Kan, Raymond - 2021

The paper discusses the moments of Wishart matrices, in both the central and noncentral cases. The first part of the …

Persistent link: https://www.econbiz.de/10012593703

A test on the location of tangency portfolio for small sample size and singular covariance matrix

Drin, Svitlana; Mazur, Stepan; Muhinyuza, Stanislas - 2023

In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when both the population and the sample covariance matrices of asset returns are singular. We derive the exact distribution of the test statistic under both the null and alternative...

Persistent link: https://www.econbiz.de/10014551571

The effects of shock in strikes on non-agriculture employment, output, and inflation in South Africa: A structural analysis of Bayesian VAR models

Ngundu, Marvellous; Mphinyana-Chauke, Shonisani; … - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-10

-agricultural employment in South Africa using a structural analysis of Bayesian VAR models with a Normal inverted Wishart prior for the period …

Persistent link: https://www.econbiz.de/10015074734

A test on the location of tangency portfolio for small sample size and singular covariance matrix

Drin, Svitlana; Mazur, Stepan; Muhinyuza, Stanislas - 2023

Persistent link: https://www.econbiz.de/10014441930

Co-jumps and recursive preferences in portfolio choices

Oliva, Immacolata; Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324

Persistent link: https://www.econbiz.de/10014380566