Related papers: The Wishart short rate model
A computational tool for coarse-graining nonlinear systems of ordinary differential equations in time is discussed. Three illustrative model examples are worked out that demonstrate the range of capability of the method. This includes the…
We propose a new class of estimators of the multivariate response linear regression coefficient matrix that exploits the assumption that the response and predictors have a joint multivariate Normal distribution. This allows us to indirectly…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
Efficient schemes for sampling from the eigenvalues of the Wishart distribution have recently been described for both the uncorrelated central case (where the covariance matrix is $\mathbf{I}$) and the spiked Wishart with a single spike…
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and…
It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this…
Heteroscedastic Gaussian process regression, based on the concept of chained Gaussian processes, is used to build surrogates to predict site-specific loads on an offshore wind turbine. Stochasticity in the inflow turbulence and irregular…
We propose a model to forecast large realized covariance matrices of returns, applying it to the constituents of the S\&P 500 daily. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level…
In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the…
In this paper, we obtain a property of the expectation of the inverse of compound Wishart matrices which results from their orthogonal invariance. Using this property as well as results from random matrix theory (RMT), we derive the…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The model reduces the number of unknown parameters and the…
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…
Expectile regression is a useful tool for exploring the relation between the response and the explanatory variables beyond the conditional mean. This article develops a continuous threshold expectile regression for modeling data in which…
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide…
In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in different countries every quarter. The observations at each…
Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…