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Detecting Atypical Observations in Financial Data : The Forward Search for Elliptical Copulas
Bellini, Tiziano - 2013
In the last few years, copulas have been widely applied in many field of studies. Concentrating our attention on financial applications, we pursue the goal to detect multivariate atypical observations by extending to elliptical copulas the forward search originally introduced in linear and...
Persistent link: https://www.econbiz.de/10013087333
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One-Factor Copula-Based Model for Credit Portfolio
Kolman, Marek - 2014
implement. General engine relies on one-factor copula model and a concept of generating functions. Proposed model also uses only … implementation, double t–copula is chosen in combination with a stochastic LGD feature. Finally, we show the incidence on capital …
Persistent link: https://www.econbiz.de/10013065540
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Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences
G. Pedraz, Carlos - 2014
in commodity futures. To model the asset returns, we propose a conditional asymmetric t copula with skewed and fat … specification of higher moments in the marginal distributions and the type of tail dependence in the copula have significant …
Persistent link: https://www.econbiz.de/10013066233
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Goodness-of-Fit Tests for Copulas of Multivariate Time Series
Remillard, Bruno - 2014
The asymptotic behaviour of the empirical copula constructed from residuals of stochastic volatility models is studied …. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the …
Persistent link: https://www.econbiz.de/10013068847
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Analysis of Contagion in Financial Markets Based on the Gradient Measurement of the Growth in Financial Markets and Conditional Copula Functions
Siedlecki, Rafał - 2013
We define contagion in financial markets as a significant increase in cross-market linkages after a shock to one country (or group of countries). Contagion occurs if cross-market co-movement increases significantly after the shock.The main goal of this paper is to analyse changes in dependence...
Persistent link: https://www.econbiz.de/10013071663
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Substitution Costs in Managed Synthetic CDOs
O'Kane, Dominic - 2013
a wide range of CDO deal scenarios using a Gaussian copula correlation model. In deals where the cost is transformed …
Persistent link: https://www.econbiz.de/10013072231
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Misspecified Copulas in Credit Risk Models : How Good is Gaussian?
Hamerle, Alfred - 2013
fatter tails ceteris paribus. As an amendment to recent research this paper shows some estimation results when the copula in … the Gaussian copula considerably reduce model risk in practical applications …
Persistent link: https://www.econbiz.de/10013073615
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An Overview of the Goodness-of-Fit Test Problem for Copulas
Fermanian, Jean-David - 2013
We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula …
Persistent link: https://www.econbiz.de/10013075565
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Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
Can, Sami - 2014
) and max(Yi) is then characterized by the marginal extreme value indices and the tail copula R. We propose a procedure for … constructing asymptotically distribution-free goodness-of-fit tests for the tail copula R. The procedure is based on a …
Persistent link: https://www.econbiz.de/10013051730
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The Maximum Surplus Before Ruin for Dependent Risk Models Through Farlie-Gumbel-Morgenstern Copula
Jiang, Wuyuan - 2014
where the claim sizes depend on inter-claim times via the Farlie-Gumbel-Morgenstern copula. We derive an integro …
Persistent link: https://www.econbiz.de/10013051770