相关论文: Hedging Effectiveness under Conditions of Asymmetr…

We develop a finite-horizon model in which liquid-asset returns exhibit Levy-stable scaling on a data-driven window [tau_UV, tau_IR] and aggregate into a finite-variance regime outside. The window and the tail index alpha are identified…

First results on the longitudinal asymmetry and its effect on the pseudorapidity distributions in Pb-Pb collisions at $\sqrt{s_{\mathrm{NN}}}$ = 2.76 TeV at the Large Hadron Collider are obtained with the ALICE detector. The longitudinal…

We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even…

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…

This paper advances the local projections (LP) method by addressing its inefficiency in high-frequency economic and financial data with volatility clustering. We incorporate a generalized autoregressive conditional heteroskedasticity…

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 the real world, the frequency of occurrence of objects is naturally skewed forming long-tail class distributions, which results in poor performance on the statistically rare classes. A promising solution is to mine tail-class examples to…

We reassess the use of linear models to approximate response probabilities of binary outcomes, focusing on average partial effects (APE). We confirm that linear projection parameters coincide with APEs in certain scenarios. Through…

We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are…

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is…

The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…

We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…

We study how much the in-sample performance of trading strategies based on linear predictive models is reduced out-of-sample due to overfitting. More specifically, we compute the in- and out-of-sample means and variances of the…

We introduce a new actuarial tail-shape index, the $\theta$-index, based on a probability equal level relationship between Value at Risk and Expected Shortfall. The index is defined at each tail probability level as the parameter value for…

Likelihood-based procedures are a common way to estimate tail dependence parameters. They are not applicable, however, in non-differentiable models such as those arising from recent max-linear structural equation models. Moreover, they can…

While stochastic gradient descent (SGD) is one of the major workhorses in machine learning, the learning properties of many practically used variants are poorly understood. In this paper, we consider least squares learning in a…

In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal…

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional…

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…