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Dynamic Diversification in Corporate Credit

Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; … - School of Economics and Management, University of Aarhus - 2013

We characterize diversification in corporate credit using a new class of dynamic copula models which can capture … equity return dependence dynamics. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations … high since. Perhaps most importantly, tail dependence of CDS spreads increase even more than copula correlations during the …

Persistent link: https://www.econbiz.de/10010851205

Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

Hansen, Niels S.; Lunde, Asger - School of Economics and Management, University of Aarhus - 2013

distribution. Using copula decomposition we can set up a model for each factor individually along with a model for their dependence …

Persistent link: https://www.econbiz.de/10010851281

Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010

through a copula representation of the bivariate risk-neutral density. For this purpose, we employ either the one …

Persistent link: https://www.econbiz.de/10008462030

A Meta-Distribution for Non-Stationary Samples

Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009

In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...

Persistent link: https://www.econbiz.de/10005025509

Oracle Inequalities for Convex Loss Functions with Non-Linear Targets

Caner, Mehmet; Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2013

This paper consider penalized empirical loss minimization of convex loss functions with unknown non-linear target functions. Using the elastic net penalty we establish a finite sample oracle inequality which bounds the loss of our estimator from above with high probability. If the unknown target...

Persistent link: https://www.econbiz.de/10010851265

Do class size effects differ across grades?

Nandrup, Anne Brink - School of Economics and Management, University of Aarhus - 2015

This paper contributes to the class size literature by analyzing whether short-run class size effects are constant across grade levels in compulsory school. Results are based on administrative data on all pupils enroled in Danish public schools. Identification is based on a government-imposed...

Persistent link: https://www.econbiz.de/10011188503

Alternative Asymptotics and the Partially Linear Model with Many Regressors

Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K. - School of Economics and Management, University of Aarhus - 2012

Non-standard distributional approximations have received considerable attention in recent years. They often provide more accurate approximations in small samples, and theoretical improvements in some cases. This paper shows that the seemingly unrelated "?many instruments asymptotics" ?and...

Persistent link: https://www.econbiz.de/10009421714

Predictable return distributions

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010

This paper provides detailed insights into predictability of the entire stock and bond return distribution through the use of quantile regression. This allows us to examine speci?c parts of the return distribution such as the tails or the center, and for a suf?ciently ?ne grid of quantiles we...

Persistent link: https://www.econbiz.de/10008462025

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors

Cattaneo, Mathias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2007

This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...

Persistent link: https://www.econbiz.de/10005440074

Modelling electricity day–ahead prices by multivariate Lévy semistationary processes

Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2012

This paper presents a new modelling framework for day–ahead electricity prices based on multivariate Lévy semistationary (MLSS) processes. Day–ahead prices specify the prices for electricity delivered over certain time windows on the next day and are determined in a daily auction. Since...

Persistent link: https://www.econbiz.de/10010851204