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framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed …
Persistent link: https://www.econbiz.de/10009429291
Research macroeconomists have witnessed remarkable methodological developments in mathematical, statistical, and computational tools during the last two decades. The three essays in this dissertation took advantage of these advances to analyze important macroeconomic issues.The first essay, “...
Persistent link: https://www.econbiz.de/10009460581
[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … dependence structure to multivariate optionpricing. We use the new concept of Levy copula introduced in the literature by Tankov … bivariate variance gamma and bivariate CGMYmodels. To model the dependence structure between underlying assets we use the …
Persistent link: https://www.econbiz.de/10009429598
the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional … gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest …
Persistent link: https://www.econbiz.de/10009430120
dependence structure among risk factors can be summarised in terms of their cross-moments. This solves the other part of the …
Persistent link: https://www.econbiz.de/10009437795
is based on the correlations between the obligors using copulas. Using this probability of default, the price of a … can be observed how a downturn in the economy could affect CDOs. This thesis extends on the use of copulas to simulate the … correlation between obligors. Copulas allow for the creation of one joint distribution using a set of independent distributions …
Persistent link: https://www.econbiz.de/10009464055
This dissertation contains three essays. They are related to the exponential seriesestimation of copulas and the … application of parametric copulas in financialeconometrics. Chapter II proposes a multivariate exponential series estimator (ESE … copulastudies by providing an alternative dedicated to the tail dependence measure.Chapter III proposes a likelihood ratio statistic …
Persistent link: https://www.econbiz.de/10009464939
technique based on copulas to describe the dependence of risks within an insurance company in the context of solvency assessment …The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of …) methods. Archimedean copulas are one of the most important classes of copulas that are widely used in both finance and …
Persistent link: https://www.econbiz.de/10009484265
[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … dependence structure to multivariate optionpricing. We use the new concept of Levy copula introduced in the literature by Tankov … bivariate variance gamma and bivariate CGMYmodels. To model the dependence structure between underlying assets we use the …
Persistent link: https://www.econbiz.de/10009442040
frequently than large gains. The second set of stylized facts is concerned with the dependence structure among asset returns …. Recent empirical studies have cast doubts on the adequacy of the linear dependence structure implied by the multivariate …
Persistent link: https://www.econbiz.de/10009448656