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Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Persistent link: https://www.econbiz.de/10010238359

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

Persistent link: https://www.econbiz.de/10011309638

The systemic risk of central SIFIs

Chen, Cathy Yi-Hsuan; Nasekin, Sergey - 2017

distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula … approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model …

Persistent link: https://www.econbiz.de/10011710562

TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Persistent link: https://www.econbiz.de/10011349502

Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.

López Cabrera, Brenda; Schulz, Franziska - 2016

The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...

Persistent link: https://www.econbiz.de/10011538153

TENET : Tail-Event driven NETwork risk

Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

Persistent link: https://www.econbiz.de/10010428185

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the … dependency structure between random variables, next we explain the link between the copulae and common dependency measures, such …

Persistent link: https://www.econbiz.de/10003727552

FRM: a financial risk meter based on penalizing tail events occurrence

Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

Persistent link: https://www.econbiz.de/10011598919

The importance of time-varying parameters in new Keynesian models with zero lower bound

Albertini, Julien; Lan, Hong - 2016

In this paper we question the ability of New Keynesian models to reproduce the behavior of the nominal interest rate. In particular, we wonder if the model is able to reproduce infrequent but long ZLB spells as observed in the data. Starting from the canonical model, we compare alternative...

Persistent link: https://www.econbiz.de/10011438035

Efficient iterative maximum likelihood estimation of high-parameterized time series models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Persistent link: https://www.econbiz.de/10010235324