Zobrazeno 1 - 10
of 144
pro vyhledávání: '"McNeil Alexander J."'
Autor:
Bladt Martin, McNeil Alexander J.
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 87-107 (2022)
Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that
Externí odkaz:
https://doaj.org/article/bc4505386c0841a9a4829ca662c3d6a9
The bivariate copulas that describe the dependencies and partial dependencies of lagged variables in strictly stationary, first-order GARCH-type processes are investigated. It is shown that the copulas of symmetric GARCH processes are jointly symmetr
Externí odkaz:
http://arxiv.org/abs/2408.07025
Autor:
Gordy, Michael B.1, McNeil, Alexander J.2
Publikováno v:
Working Papers: U.S. Federal Reserve Board's Finance & Economic Discussion Series. Aug2024, p1-47. 48p.
Autor:
Bladt, Martin, McNeil, Alexander J.
Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that
Externí odkaz:
http://arxiv.org/abs/2107.00960
Methods are developed for checking and completing systems of bivariate and multivariate Kendall's tau concordance measures in applications where only partial information about dependencies between variables is available. The concept of a concordance
Externí odkaz:
http://arxiv.org/abs/2009.08130
Autor:
Bladt, Martin, McNeil, Alexander J.
An approach to modelling volatile financial return series using stationary d-vine copula processes combined with Lebesgue-measure-preserving transformations known as v-transforms is proposed. By developing a method of stochastically inverting v-trans
Externí odkaz:
http://arxiv.org/abs/2006.11088
Autor:
McNeil, Alexander J.
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time serie
Externí odkaz:
http://arxiv.org/abs/2002.10135
Autor:
Balter, Janine1 (AUTHOR) janinba@web.de, McNeil, Alexander J.2 (AUTHOR) alexander.mcneil@york.ac.uk
Publikováno v:
Risks. Jan2024, Vol. 12 Issue 1, p13. 15p.
Autor:
Balter, Janine, McNeil, Alexander J.
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-fac
Externí odkaz:
http://arxiv.org/abs/1803.07590
Autor:
Bladt, Martin, McNeil, Alexander J.
Publikováno v:
In Econometrics and Statistics October 2022 24:27-48