Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 114 S. graph. Darst. |
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Record in the Search Index
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| adam_text | TIME VARYING ADAPTIVE COPULAE AND DYNAMIC SEMIPARAMETRIC FACTOR MODELS
WITH APPLICATIONS IN FINANCE DISSERTATION ZUR ERLANGUNG DES AKADEMISCHEN
GRADES DOCTOR RERUM POLITICARUM (DOKTOR DER WIRTSCHAFTSWISSENSCHAFT)
EINGEREICHT AN DER WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAET DER
HUMBOLDT-UNIVERSITAET ZU BERLIN VON M.SC. ENZO GIACOMINI GEBOREN AM
25.01.1973 IN SAEO BERNARDO DO CAMPO PRAESIDENT DER HUMBOLDT-UNIVERSITAET
ZU BERLIN: PROF. DR. DR. H. * CHRISTOPH MARKSCHIES DEKAN DER
WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAET: PROF. OLIVER GUENTHER, PH.D.
GUTACHTER: 1. PROF. DR. WOLFGANG HAERDLE 2. PROF. DR. VLADIMIR SPOKOINY
TAG DES KOLLOQUIUMS: 30. JANUAR 2009 CONTENTS I INHOMOGENEOUS DEPENDENCE
MODELLING WITH TIME VARYING COPULAE 5 1 INTRODUCTION 6 2 DYNAMIC COPULA
MODELS 11 2.1 SHORT INTRODUCTION TO COPULAE 11 2.2 MULTIVARIATE
FINANCIAL RETURNS 14 2.2.1 MULTIVARIATE GARCH MODELS 16 2.3 DYNAMIC
COPULA MODELS 21 2.3.1 TIME HOMOGENEOUS DEPENDENCE 21 2.3.2 TIME
INHOMOGENEOUS DEPENDENCE 21 3 VALUE-AT-RISK ESTIMATION WITH COPULAE 23
3.1 LOSS DISTRIBUTION 23 3.1.1 LINEAR PORTFOLIO 24 3.2 VALUE-AT-RISK 25
3.3 VALUE-AT-RISK ESTIMATION 27 3.3.1 RISKMETRICS 27 3.3.2 VALUE-AT-RISK
WITH COPULAE 28 4 ADAPTIVE COPULAE 29 4.1 MODELLING WITH TIME VARYING
COPULAE 29 4.1.1 TEST OF HOMOGENEITY AGAINST A CHANGE POINT ALTERNATIVE
32 4.1.2 PARAMETERS OF THE LCP PROCEDURE 33 4.2 SIMULATED EXAMPLES 34 5
EMPIRICAL RESULTS 40 5.1 PERFORMANCE 42 5.2 COMMENTS 45 IV II DYNAMIC
SEMIPARAMETRIC FACTOR MODELS IN RISK NEUTRAL DENSITIES AND PRICING
KERNELS ESTIMATION 48 6 INTRODUCTION 49 7 DYNAMIC SEMIPARAMETRIC FACTOR
MODELS IN ESTIMATION OF RISK NEUTRAL DENSITIES, AND PRICING KERNELS 54
7.1 ESTIMATION METHOD . 54 7.2 APPLICATION 56 7.2.1 RISK NEUTRAL
DENSITY ESTIMATION 58 7.2.2 INTERTEMPORAL PRICING KERNEL ESTIMATION 60 8
EMPIRICAL RESULTS 62 8.1 ESTIMATION AND RESULTS 62 8.1.1 COMPARATIVE
STATICS 64 8.1.2 VAR ANALYSIS 69 8.2 COMMENTS 72 A COPULAE 74 A.L
DEFINITIONS AND PROPERTIES 75 A.2 COPULAE EXAMPLES 79 A.2.1 BIVARIATE
ARCHIMEDEAN COPULAE 82 A.2.2 MULTIVARIATE ARCHIMEDEAN COPULAE 84 A.2.3
DISTRIBUTIONS CONSTRUCTED WITH COPULAE 86 A.3 TAIL DEPENDENCE 86 A.4
COPULAE ESTIMATION 89 A.4.1 MAXIMUM LIKELIHOOD ESTIMATION 90 A.4.2 IFM -
INFERENCE FOR MARGINS 90 A.4.3 CML - CANONICAL MAXIMUM LIKELIHOOD 91
A.4.4 GAUSSIAN COPULA ESTIMATION 92 A.4.5 T-COPULA ESTIMATION 92 A.5
COPULAE SIMULATION 93 * ADAPTIVE COPULAE: COMPLEMENTS 98 B.L ADAPTIVE
ESTIMATOR 98 B.2 CHOICE OF CRITICAL VALUES 3 99 B.3 GAUSSIAN COPULAE 100
B.3.1 GAUSSIAN COPULA: SUDDEN JUMP IN CORRELATION 100 * DSFM ASSUMPTIONS
104 V
|
| any_adam_object | 1 |
| author | Giacomini, Enzo 1973- |
| author_GND | (DE-588)140480838 |
| author_facet | Giacomini, Enzo 1973- |
| author_role | aut |
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| author_variant | e g eg |
| building | Verbundindex |
| bvnumber | BV036093334 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)608746218 (DE-599)BVBBV036093334 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T22:11:25Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018983896 |
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| physical | IX, 114 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
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| spelling | Giacomini, Enzo 1973- Verfasser (DE-588)140480838 aut Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance Enzo Giacomini 2009 IX, 114 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berlin, Humboldt-Univ., Diss., 2009 Dynamische Modellierung (DE-588)4139122-6 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf Multivariate Daten (DE-588)4195680-1 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Value at Risk (DE-588)4519495-6 s Zeitreihe (DE-588)4127298-5 s Multivariate Daten (DE-588)4195680-1 s Dynamische Modellierung (DE-588)4139122-6 s b DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018983896&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Giacomini, Enzo 1973- Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance Dynamische Modellierung (DE-588)4139122-6 gnd Zeitreihe (DE-588)4127298-5 gnd Multivariate Daten (DE-588)4195680-1 gnd Value at Risk (DE-588)4519495-6 gnd |
| subject_GND | (DE-588)4139122-6 (DE-588)4127298-5 (DE-588)4195680-1 (DE-588)4519495-6 (DE-588)4113937-9 |
| title | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance |
| title_auth | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance |
| title_exact_search | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance |
| title_full | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance Enzo Giacomini |
| title_fullStr | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance Enzo Giacomini |
| title_full_unstemmed | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance Enzo Giacomini |
| title_short | Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance |
| title_sort | time varying adaptive copulae and dynamic semiparametric factor models with applications in finance |
| topic | Dynamische Modellierung (DE-588)4139122-6 gnd Zeitreihe (DE-588)4127298-5 gnd Multivariate Daten (DE-588)4195680-1 gnd Value at Risk (DE-588)4519495-6 gnd |
| topic_facet | Dynamische Modellierung Zeitreihe Multivariate Daten Value at Risk Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018983896&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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