Related papers: New general dependence measures: construction, est…
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail…
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
We present a general non-parametric statistical inference theory for integrals of quantiles without assuming any specific sampling design or dependence structure. Technical considerations are accompanied by examples and discussions,…
The Gaussian graphical model (GGM) incorporates an undirected graph to represent the conditional dependence between variables, with the precision matrix encoding partial correlation between pair of variables given the others. To achieve…
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…
A variety of methods have been proposed for inference about extreme dependence for multivariate or spatially-indexed stochastic processes and time series. Most of these proceed by first transforming data to some specific extreme value…
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In revisiting the role of gold, our study…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
We propose a new model and estimation framework for spatiotemporal streamflow exceedances above a threshold that flexibly captures asymptotic dependence and independence in the tail of the distribution. We model streamflow using a mixture…
We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence…
Based on suitable left-truncated or censored data, two flexible classes of $M$-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following a recently proposed bootstrap-based testing procedure, we…
Classical measures of structural reliability, such as the probability of failure and the related reliability index, are still widely applied in practice. However, these measures are frequency-based only, and they do not give information…