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The serial dependency of multivariate financial data will often be filtered by considering the residuals of univariate GARCH models adapted to every single series. This is the correct filtering strategy if the multivariate process follows a so-called copula based multivariate dynamic model...
Persistent link: https://www.econbiz.de/10003894846
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We generalize the results for statistical functionals given by [Fernholz, 1983] and [Serfling, 1980] to M estimates for samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on the uniform convergency of the empirical...
Persistent link: https://www.econbiz.de/10008697030
We proof that Hadamard differentiability in addition with usual assumptions on the loss function for M estimates implies differentiability in quadratic mean. Thus both concepts are exchangeable. -- Hadamard differential ; Differentiability in quadratic mean
Persistent link: https://www.econbiz.de/10008697037
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...
Persistent link: https://www.econbiz.de/10003903663
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of...
Persistent link: https://www.econbiz.de/10003903675
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There are several procedures to construct a skewed distribution. One of these procedures splits the value of a parameter of scale for the two halfs of a symmetric distribution. Fechner proposed this procedure in his famous book "Kollektivmaßlehre (1897), p. 295ff.". A similar proposal comes...
Persistent link: https://www.econbiz.de/10009231629
There are several procedures to construct a skewed distribution. One of these procedures is based on a symmetric distribution that will be distorted by a skewed distribution defined on (0; 1). This proposal stems from Arellano-Valle et al. and was refined by Ferreira & Steel. Up to now, it is an...
Persistent link: https://www.econbiz.de/10009381976
J.M. Keynes (1911) shows how distributions look like for which the arithmetic, the geometric and the harmonic mean are "most probable values". We propose a general class of distributions for which the quasi-arithmetic means are ML-estimators such that these distributions can be transformed into...
Persistent link: https://www.econbiz.de/10009621616