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Modeling international financial returns with a multivariate regime switching copula

CHOLLETE, Loran; HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2008

regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical … copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns. …

Persistent link: https://www.econbiz.de/10005008223

Hierarchical shrinkage in time-varying parameter models

BELMONTE, Miguel A.G.; KOOP, Gary; KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...

Persistent link: https://www.econbiz.de/10010610466

VAR forecasting using Bayesian variable selection

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large...

Persistent link: https://www.econbiz.de/10010610485

Copula-based orderings of multivariate dependence

DECANCQ, Koen - Center for Operations Research and Econometrics (CORE), … - 2010

order multivariate random vectors with non- fixed margins, I impose a scale invariance principle which leads to a copula …-based concordance dependence ordering. Finally, a wide family of copula-based measures of dependence is characterized to which …

Persistent link: https://www.econbiz.de/10008550231

Asymptotic properties of the Bernstein density copula for dependent data

BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen V.K.; TAAMOUTI, … - Center for Operations Research and Econometrics (CORE), … - 2008

modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data … based. This paper proposes nonparametric estimation of the density copula for α-mixing data using Bernstein polynomials. We … study the asymptotic properties of the Bernstein density copula, i.e., we provide the exact asymptotic bias and variance, we …

Persistent link: https://www.econbiz.de/10005043150

Semiparametric multivariate density estimation for positive data using copulas

BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007

In this paper we estimate density functions for positive multivariate data. We propose a semiparametric approach. The estimator combines gamma kernels or local linear kernels, also called boundary kernels, for the estimation of the marginal densities with semiparametric copulas to model the...

Persistent link: https://www.econbiz.de/10005043675

Multivariate modelling of time series count data: an autoregressive conditional Poisson model

HEINEN, Andreas; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2003

observations the means follow a Vector Autoregression. We use a copula to introduce contemporaneous correlation between the series …

Persistent link: https://www.econbiz.de/10005065398

Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework

Braione, Manuela; Scholtes, Nicolas K. - Center for Operations Research and Econometrics (CORE), … - 2014

Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. In order to account for both the skewness and the excess kurtosis in returns, we combine the BEKK model from the multivariate GARCH literature with different...

Persistent link: https://www.econbiz.de/10011246290

Forecasting comparison of long term component dynamic models for realized covariance matrices

BAUWENS, Luc; BRAIONE, Manuela; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2014

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

Persistent link: https://www.econbiz.de/10011246317

Commodities inventory effect

CARPANTIER, Jean - François - Center for Operations Research and Econometrics (CORE), … - 2010

Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are...

Persistent link: https://www.econbiz.de/10008642223