Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The...

Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...

Abstract Irrespective of the statistical model under study, the derivation of limits,in the Le Cam sense, of sequences of local experiments (see [7]-[10]) oftenfollows along very similar lines, essentially involving differentiability in quadraticmean of square roots of (conditional) densities....

This paper introduces rank-based tests for the cointegrating rank in an Error CorrectionModel with i.i.d. elliptical innovations. The tests are asymptotically distribution-free,and their validity does not depend on the actual distribution of the innovations. Thisresult holds despite the fact...

This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan et al. [Doukhan, P., Latour, A., Oraichi, D., 2006. A simple integer-valued bilinear time series model. Adv. Appl. Prob. 38, 559-578]. Using a hidden Markov argument, we extend their result of the...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...