相关论文: Multivariate Feller conditions in term structure m…

In affine term structure models the short rate is modelled as an affine transformation of a multi-dimensional square root process. Sufficient conditions to avoid negative volatility factors are the multivariate Feller conditions. We will…

In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…

The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…

This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed…

This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…

In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In this way we generalize the results of [5], where a…

Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…

We consider a bivariate time series $(X_t,Y_t)$ that is given by a simple linear autoregressive model. Assuming that the equations describing each variable as a linear combination of past values are considered structural equations, there is…

The validity OF a causal model can be tested ONLY IF the model imposes constraints ON the probability distribution that governs the generated data. IN the presence OF unmeasured variables, causal models may impose two types OF constraints :…

This paper provides a Feller's test for explosions of one-dimensional continuous stochastic Volterra processes of convolution type. The study focuses on dynamics governed by nonsingular kernels, which preserve the semimartingale property of…

Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…

Financial event studies, ubiquitous in finance research, typically use linear factor models with known factors to estimate abnormal returns and identify causal effects of information events. This paper demonstrates that when factor models…

Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…

We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…

The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…

We develop factor copula models for analysing the dependence among mixed continuous and discrete responses. Factor copula models are canonical vine copulas that involve both observed and latent variables, hence they allow tail, asymmetric…

Structural causal models are the basic modelling unit in Pearl's causal theory; in principle they allow us to solve counterfactuals, which are at the top rung of the ladder of causation. But they often contain latent variables that limit…

Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unknown whether the moment restrictions hold exactly. We consider…

Geometric representations provide a principled framework for structuring the description of latent constructs and clarifying sources of uncertainty in their dimensional characterisation. We introduce a novel geometric representation of…

In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…