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This paper introduces a new parametric fund performance measure, called the L-performance. The L-performance is an alternative to the Sharpe performance, which is commonly used in practice despite its inability to account for skewness and heavy tails of unconditional return distributions. The...
Persistent link: https://www.econbiz.de/10005006302
We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentred gamma (up to a scale factor). The paper provides the stationarity and ergodicity conditions for ARG processes of any autoregressive order <TOGGLE>p</TOGGLE>, including long memory, and closed-form...</toggle>
Persistent link: https://www.econbiz.de/10005635582
In a nonlinear framework, temporal dependence of time series is sensitive to transformations. The aim of this paper is to examine in detail the relationships between various forms of persistence and nonlinear transformations of stationary and nonstationary processes. We introduce the concept of...
Persistent link: https://www.econbiz.de/10005558046
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The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as...
Persistent link: https://www.econbiz.de/10005696670
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This paper introduces nonlinear dynamic factor models for various applications related to risk analysis. Traditional factor models represent the dynamics of processes driven by movements of latent variables, called the factors. Our approach extends this setup by introducing factors defined as...
Persistent link: https://www.econbiz.de/10005292314
This paper presents a new general class of compound autoregressive (Car) models for non-Gaussian time series. The distinctive feature of the class is that Car models are specified by means of the conditional Laplace transforms. This approach allows for simple derivation of the ergodicity...
Persistent link: https://www.econbiz.de/10005260661
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