Zobrazeno 1 - 10
of 3 534
pro vyhledávání: '"Statistical Finance (q-fin.ST)"'
Publikováno v:
Journal of Econometrics. 235:65-81
We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of parametric and semi-parametric estimation problems for which the method i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e778eb3bab9b8482506e0143ada5d74
https://doi.org/10.1016/j.jeconom.2022.01.008
https://doi.org/10.1016/j.jeconom.2022.01.008
Publikováno v:
International Journal of Artificial Intelligence & Applications. 14:11-28
Predicting the Stock movement attracts much attention from both industry and academia. Despite such significant efforts, the results remain unsatisfactory due to the inherently complicated nature of the stock market driven by factors including supply
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::300038c490a3686583029a8aabdaeeba
https://doi.org/10.5121/ijaia.2023.14202
https://doi.org/10.5121/ijaia.2023.14202
Publikováno v:
Insurance: Mathematics and Economics. 109:1-28
The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the conventional research has been
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e41a7dba5cdbd1e498254332f57d843c
https://doi.org/10.1016/j.insmatheco.2022.12.003
https://doi.org/10.1016/j.insmatheco.2022.12.003
Autor:
N. Packham, F. Woebbeking
Publikováno v:
Journal of Economic Behavior & Organization. 205:55-67
We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eaa7ea8fa893937f055b181865b29317
https://doi.org/10.1016/j.jebo.2022.11.002
https://doi.org/10.1016/j.jebo.2022.11.002
Autor:
Chung-Han Hsieh
Publikováno v:
IEEE Control Systems Letters. 7:679-684
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we propose a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73d051c2879c1273e1cf9914be0a0f23
https://doi.org/10.1109/lcsys.2022.3218541
https://doi.org/10.1109/lcsys.2022.3218541
Publikováno v:
IEEE Transactions on Signal Processing. 71:1334-1349
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage target is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::010114493f44a43f00fd640d8d51a3a8
https://doi.org/10.1109/tsp.2023.3263950
https://doi.org/10.1109/tsp.2023.3263950
Autor:
Ra��ssi, Hamdi
Publikováno v:
Communications in Statistics - Theory and Methods. :1-15
In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wide as constant and time-varying zero returns probability are allowed.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ab50e1b833c0dbd4ab9e1b630a7c7a2
https://doi.org/10.1080/03610926.2022.2148471
https://doi.org/10.1080/03610926.2022.2148471
Autor:
Kan Chen, Tuoyuan Cheng
Publikováno v:
The Journal of Finance and Data Science. 8:296-308
Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (M
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65dc0396ada295dc950f1643b1d97470
https://doi.org/10.1016/j.jfds.2022.11.001
https://doi.org/10.1016/j.jfds.2022.11.001
Publikováno v:
Journal of Business & Economic Statistics. :1-13
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-ope
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::94cf5e5e7c7dc1dd0702c6b94a2fb9ac
https://doi.org/10.1080/07350015.2022.2116027
https://doi.org/10.1080/07350015.2022.2116027
Autor:
Martin Bladt, Alexander J. McNeil
Publikováno v:
Econometrics and Statistics. 24:27-48
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a5690de850db988412c2d319cdb23f67
https://doi.org/10.1016/j.ecosta.2021.07.004
https://doi.org/10.1016/j.ecosta.2021.07.004