Showing 1 - 10 of 107
Good corporate reputation is seen as one of the most valuable assets. It is believed to cause a multitude of favorable impacts within different stakeholder groups. As a consequence, a multitude of studies analyzed the relationship between corporate reputation and financial performance. However,...
Persistent link: https://www.econbiz.de/10010281513
. Simulations for different univariate median regression models show good finite sample properties, also in comparison to …
Persistent link: https://www.econbiz.de/10010281536
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...
Persistent link: https://www.econbiz.de/10010318750
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We...
Persistent link: https://www.econbiz.de/10010263762
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simpli cations would produce misleading results. This occurs when a signi cant portion of the...
Persistent link: https://www.econbiz.de/10010427063
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011380687
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...
Persistent link: https://www.econbiz.de/10010281574
Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...
Persistent link: https://www.econbiz.de/10005865416
Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...
Persistent link: https://www.econbiz.de/10005854712
Due to its ability to allow and account for similarities between pairs of alternatives, the nested logit model is increasingly used in practical applications. However the fact that there are two different specifications of the nested logit model has not received adequate attention. The utility...
Persistent link: https://www.econbiz.de/10005854714