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Testing for equality between two copulas
TLDR
We develop a test of equality between two dependence structures estimated through empirical copulas. Expand
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Sensitivity Analysis of Values at Risk
The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, andExpand
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Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantageExpand
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Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial assets knowing that the loss is larger than a given quantile. We deriveExpand
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Nonparametric Estimation of Conditional Expected Shortfall
We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptoticExpand
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The estimation of copulas : theory and practice
TLDR
We deal with the estimation of the copula density itself, with a particular focus on estimation near the boundaries of the unit square. Expand
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On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
In this paper we analyse recovery rates on defaulted bonds using the Standard and Poor’s/PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 andExpand
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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
TLDR
We propose a formal treatment based on an explicit thresholding on available test statistics. Expand
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Spatial Dependence , Housing Submarkets , and House Price Prediction
This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context. Explicit modeling of the error structure is characterized as aExpand
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A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such aExpand
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