Zobrazeno 1 - 10
of 86
pro vyhledávání: '"Katja Ignatieva"'
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics.
We propose a new state space model to estimate the Integrated Variance (IV) in the presence of microstructure noise. Applying the pre-averaging sampling scheme to the irregularly spaced high-frequency data, we derive equidistant efficient price appro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a48e4cb32e76527f4dd55b4511cc6c61
https://doi.org/10.1515/snde-2021-0093
https://doi.org/10.1515/snde-2021-0093
Autor:
Zinoviy Landsman, Katja Ignatieva
Publikováno v:
Insurance: Mathematics and Economics. 101:437-465
This paper introduces a new family of Generalised Hyper-Elliptical (GHE) distributions providing further generalisation of the generalised hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman (2019) . The GHE family is constr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcd9f318aa6df98b781048dd05807a21
https://doi.org/10.1016/j.insmatheco.2021.08.011
https://doi.org/10.1016/j.insmatheco.2021.08.011
Publikováno v:
Risks, Vol 7, Iss 2, p 61 (2019)
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the a
Externí odkaz:
https://doaj.org/article/8b83e32ed3044d5fae8539217358b87a
Publikováno v:
Risks, Vol 7, Iss 1, p 2 (2019)
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as
Externí odkaz:
https://doaj.org/article/22be2bac2da14eb8b5dcf6cdb3cec4bc
Autor:
Katja Ignatieva, Zinoviy Landsman
Publikováno v:
Insurance: Mathematics and Economics. 86:98-114
This paper deals with the estimation of loss severity distributions arising from historical data on univariate and multivariate losses. We present an innovative theoretical framework where a closed-form expression for the tail conditional expectation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9cfb4f8c161a01fe4d3719c5086f6e87
https://doi.org/10.1016/j.insmatheco.2019.02.008
https://doi.org/10.1016/j.insmatheco.2019.02.008
Autor:
Katja Ignatieva, José Da Fonseca
Publikováno v:
Journal of Banking & Finance. 99:45-62
This study performs a joint analysis of jump activity for commodities and their respective volatility indexes; it also compares the results thereof to those for equities. Exploiting a property of affine jump-diffusion models (i.e., that a volatility
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0218384c6c0d7423e1187bf3612bb206
https://doi.org/10.1016/j.jbankfin.2018.11.014
https://doi.org/10.1016/j.jbankfin.2018.11.014
Autor:
Katja Ignatieva, Patrick Wong
Publikováno v:
Energy Economics. 108:105873
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::030504fbbc3a208387cfdf570e828c27
https://doi.org/10.1016/j.eneco.2022.105873
https://doi.org/10.1016/j.eneco.2022.105873
Autor:
James McCulloch, Katja Ignatieva
Publikováno v:
The Energy Journal. 41
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9eeb9cc0a5f01d5f43887894dd050109
https://doi.org/10.5547/01956574.41.3.jmcc
https://doi.org/10.5547/01956574.41.3.jmcc
This paper investigates dependence among insurance claims arising from different lines of business (LoBs). Using bivariate and multivariate portfolios of losses from different LoBs, we analyse the ability of various copulas in conjunction with skewed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::75f0022f4eef585e21cdf8ecd78c2cc1
https://hdl.handle.net/10453/141376
https://hdl.handle.net/10453/141376
Autor:
Zinoviy Landsman, Katja Ignatieva
Publikováno v:
SSRN Electronic Journal.
This paper introduces a new family of Generalized Hyper-Elliptical (GHE) distributions providing further generalization of the generalized hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman. The GHE family is constructed by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8eda98b2dfcaebc8152d08818c160f6e
https://doi.org/10.2139/ssrn.3757320
https://doi.org/10.2139/ssrn.3757320