Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

In this thesis we propose a risk management methodology to high-dimensional financial portfolios. Instead of estimating the joint density of the portfolios in a high-dimensional space, we are encouraged by using the independent component analysis (ICA) to decompose the dependent risk factors to...