Related papers: Some Remarks on T-copulas
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…
Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…
We propose a Bayesian variable selection method in the framework of modal regression for heavy-tailed responses. An efficient expectation-maximization algorithm is employed to expedite parameter estimation. A test statistic is constructed…
Academic performance depends on a multivariable nexus of socio-academic and financial factors. This study investigates these influences to develop effective strategies for optimizing students' CGPA. To achieve this, we reviewed various…
For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…
We consider a correlated random coefficient panel data model with two-way fixed effects and interactive fixed effects in a fixed T framework. We propose a two-way mean group (TW-MG) estimator for the expected value of the slope coefficient…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
While acute stress has been shown to have both positive and negative effects on performance, not much is known about the impacts of stress on students grades during examinations. To answer this question, we examined whether a correlation…
Simulation studies are computer experiments that involve creating data by pseudorandom sampling. The key strength of simulation studies is the ability to understand the behaviour of statistical methods because some 'truth' (usually some…
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective…
In this work, we focus on some conditional extreme risk measures estimation for elliptical random vectors. In a previous paper, we proposed a methodology to approximate extreme quantiles, based on two extremal parameters. We thus propose…
In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
Student's $t$ statistic is finding applications today that were never envisaged when it was introduced more than a century ago. Many of these applications rely on properties, for example robustness against heavy tailed sampling…
Human activities can play a crucial role in the statistical properties of observables in many complex systems such as social, technological and economic systems. We demonstrate this by looking into the heavy-tailed distributions of…
There is growing interest in a hybrid control design in which a randomized controlled trial is augmented with an external control arm from a previous trial or real world data. Existing methods for analyzing hybrid control studies include…