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World economies, and especially European ones, have become strongly interconnected in the last decade and a joint modelling is required. We propose here the use of copulae to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...
Persistent link: https://www.econbiz.de/10008675211
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...
Persistent link: https://www.econbiz.de/10009651073
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...
Persistent link: https://www.econbiz.de/10009651792
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to deal with flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may...
Persistent link: https://www.econbiz.de/10009278623
This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...
Persistent link: https://www.econbiz.de/10005342981
The increase of oil and natural gas prices since the year 2000 stimulated the planning and construction of new coal-fired electricity generating plants and coal-to-liquids plants in the US. However, a large number of these projects have been canceled or abandoned since 2007. Using a set of 145...
Persistent link: https://www.econbiz.de/10010793881
Persistent link: https://www.econbiz.de/10005808943
In this paper we present some contingent claim analysis’ models for the firm value. We focus on two different approaches: the structural (Merton) approach and a new one that treats the asset value as a claim on the firm’s securities. The non-observability of the assets’...
Persistent link: https://www.econbiz.de/10005170550
The aim is to introduce a new econometric methodology for multi-output production frontiers. In the context of a system of frontier equations, a flexible multivariate distribution for the inefficiency error term is used. This multivariate distribution is constructed through a copula function...
Persistent link: https://www.econbiz.de/10010617646
We analyze rehabilitation investments in a regulated water industry with perfectly inelastic demand. We compare alternative organizational solutions for local provision (municipalization, corporatization and privatization), though subject to a common regulatory mechanism. We can then assess the...
Persistent link: https://www.econbiz.de/10011202999