Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a...

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...

Copulas are a convenient framework to synthesize joint distributions, particularly in higher dimensions. Currently, copula-based high dimensional settings are used for as many as a few hundred variables and require large data samples for estimation to be precise. In this paper, we employ...

This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization...

This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate the relation between copulas parameter modeling both temporal dependence and dependence structure, using simulated and financial series. Our results prove the existence of a...

Today’s consumers often encounter choices that are available sequentially and that expire quickly, such as when using an online dating app or when shopping for sales of online streaming services and daily deals. In such situations, consumers make decisions while facing uncertainty about future...