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Föllmer, Hans - 2000

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Persistent link: https://www.econbiz.de/10009612020

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Some crude approximation, calibration and estimation procedures for NIG-variates

Lillestöl, Jostein - 2002 - Rev.

(NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG … consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution …

Persistent link: https://www.econbiz.de/10009627276

A market basket analysis based on the multivariate MNL model

Boztuğ, Yasemin (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919370

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Multivariate and semiparametric kernel regression

Härdle, Wolfgang; Müller, Marlene - 1997

The paper gives an introduction to theory and application of multivariate and semiparametric kernel smoothing … polynomial fitting which includes the Nadaraya-Watson estimator. Some theory on the asymptotic behavior and bandwidth selection …

Persistent link: https://www.econbiz.de/10009657131

A note on limit theorems for multivariate martingales

Küchler, Uwe; Sørensen, Michael - 1998

Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To illustrate the usefulness of the results, we consider estimation for a...

Persistent link: https://www.econbiz.de/10009578583

Inference on the cointegration rank in fractionally integrated processes

Breitung, Jörg; Hassler, Uwe - 2000

depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples …

Persistent link: https://www.econbiz.de/10009611546

Correspondence analysis

Benko, Michal; Lejeune, Michel - 2000

Correspondence analysis (CA) is a descriptive method which allows us to analyze and to XploRe the structure of contingency tables (or, by extension, non-negative tables where rows and columns are the entities of interest). It is similar to principal cornponent analysis (PCA) in the sense that,...

Persistent link: https://www.econbiz.de/10009611547

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - 2000

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis...

Persistent link: https://www.econbiz.de/10009612043