Nonparametric estimation of copulas of financial time series

... NONPARAMETRIC ESTIMATION OF COPULAS CAO JIANFEI (B.Sc Nankai University) A THESIS SUBMITTED FOR THE DEGREE OF MASTER OF SCIENCE DEPARTMENT OF STATISTICS AND APPLIED ... Elliptical copulas are the functions of elliptical distributed random vectors, such as Gaussian copulas and t -copulas The marginal distributions of elliptical copulas are elliptical and of the same...

Ngày tải lên: 26/11/2015, 23:08

... rate % Fig Moving average of the multi-agent game’s success rate for the real price-series of Fig (top left) and a random walk price-series (top right) Bottom: histogram of individual agents’ time-averaged ... proportional to S0 −S1 = S0−1 In addition, the number of agents taking part in the game at each timestep will be related to the total number of active strategi...

Ngày tải lên: 23/04/2014, 16:11

... Modeling of Volatility Clustering 1.3.1 What is the underlying mechanism of volatility clustering? Although there have been considerable efforts in exploring statistical models of volatility clustering, ... The time series of a financial asset can be generated in higher rate of sampling-frequency of time unit in minutes, resulting in “high-frequency” data, or...

Ngày tải lên: 16/09/2015, 08:31

... clinical, laboratory and pharmacy information for all patients, including the dates of enrollment into the HIV clinic, the dates of all clinical appointments and CD4 tests and the dates of starting ... two-years of initial training, and all had attended standardized training on staging HIV-positive patients using CD4 counts and WHO criteria Prior to the intervention,...

Ngày tải lên: 18/06/2014, 17:20

... preliminary understating of the time behavior of the series Fig.1 shows time series plot of selected time series air pollution concentration This Figure shows different time behavior of air pollutants ... Spectral analysis of air pollutants Part 1: elemental carbon time series Atmospheric Environment, 34, 3495-3502 Discussion and Conclusion Daily air...

Ngày tải lên: 15/03/2014, 20:20

... Xu, J., and Kalkstein, L (1997) Air pollution, weather and mortality in Philadelphia, In Particulate Air Pollution and Daily Mortality: Analyses of the Effects of Weather and Multiple Air Pollutants ... , uL ]t (Hastie and Tibshirani, 1990; Chambers and Hastie, 1992) In time series studies of air pollution and mortality, the assumption of linearity o...

Ngày tải lên: 23/03/2014, 00:20

... for quantifying and characterizing model uncertainty in multicity time series studies of air pollution and mortality The complexity of the time series data requires the application of sophisticated ... comprehensive characterization of model choice and model uncertainty in time series studies of air pollution and mortality, focusing on...

Ngày tải lên: 29/03/2014, 18:20

... of timeseries analysis in the time domain which arose largely as a consequence of the failure of the traditional methods of periodogram analysis The synthesis of the two branches of time- series ... harmonic analysis that gave rise to the concept of the spectral density of a time 12 1: THE METHODS OF TIME- SERIES ANALYSIS series should prove to be wholly...

Ngày tải lên: 27/05/2014, 02:44

... longer critical times in elderly subjects, implying that a greater time spent in openloop control could be a factor in falls in the elderly [29] Since the pioneering work of Collins and De Luca, ... either clinically, using tests such as the "Timed Get-up -and- go" [13], "Berg Balance Scale" [14] and the "Tinetti Balance Scale" [15], or biomechanically, using a force pla...

Ngày tải lên: 19/06/2014, 10:20

... scouring, (duration of treatment, and a record of any samples collected for NIVR) o Age and speculative cause of death o Number weaned and date o Date of next service (an example of a sow card is ... Vietnam Project Leader) for delivery to selected farmers in Quang Tri province for the project High performance gilts were introduced into Thua Thien Hue province in...

Ngày tải lên: 21/06/2014, 06:20

... sharpened by his study of the late economist Hyman Minsky’s theory of speculative booms and busts In The Cost of Capitalism, Barbera lays out the case for elevating financial markets—warts and all—to ... Institute “With the angel of Hyman Minsky on one shoulder and various devil economists on the other, Barbera provides cogent explanations of the financial crises...

Ngày tải lên: 21/06/2014, 08:20

... occasioned by the U.S Savings & Loan crisis, the collapse of Japan Inc after the stock market crash of 1990, the Asian crisis of the mid-1990s, the fabulous technology boom/bust cycle at the turn of the ... to keep • 15 • 16 • THE COST OF CAPITALISM inflation at bay, had vanquished the brutal boom and bust cycles that gripped the U.S economy in the 1960s...

Ngày tải lên: 21/06/2014, 08:20

... the future is unknowable • 37 • 38 • THE COST OF CAPITALISM And in the real world, people go off the deep end, with painful regularity Our framework for thinking about risk and the economy, therefore, ... mismatch between saving and investing has a big influence on the number of investment projects built and the timing of the investment.2 The clustering of i...

Ngày tải lên: 21/06/2014, 08:20

... accumulate The 2008 recession and the 74 • THE COST OF CAPITALISM violent retrenchment in the world of finance can be laid at the doorstep of these three grand miscalculations Nonetheless, it ... Still the Superior Strategy • 69 Thus, extrapolating markets predispose the economy to excessive uses of risk and concentration of investment And the interplay of t...

Ngày tải lên: 21/06/2014, 08:20

... unabashedly kick the football through the uprights and join the crowd of believers And I hem, Doc, and I haw And, I twist and turn But the crowd grows more restless, and her gaze is enticing, and I want ... home prices And the long-standing Greenspan refusal to react to asset prices kept money easy and inflated the game, worsening both the bubble and the bu...

Ngày tải lên: 21/06/2014, 08:20