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Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed.(...)
In this paper we investigate multlvariate risk portfolios, where the risks aredependent. By provMlng some natural models for risk portfohos with thesame marginal d~stnbut~ons we are able to compare two portfohos withd~flierent dependence structure with respect to their stop-loss premiums...
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising existing alternatives, namely, factor models, large scale...
We discuss the relationship between the retirement process of the capital, as formalized by its survival function, and the average retirement rate, and how this relationship is affected by changes in the investment path. The effect of the survival function on the age distribution of the capital...
Using two different measures of immigrant labour-market integration (the ratio between immigrant unemployment to native unemployment, and the ratio of employment rate among natives and immigrants) this paper tests six suggested explanations of why immigrants are less likely than natives to be...
The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...
Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...
Integrated choice and latent variable (ICLV) models represent a promising new class of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...
The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By applying nonlinear structural equation modelling, these unobservable...