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Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
Coherence-based multivariate analysis of high frequency stock market values
Coherence-based multivariate analysis high frequency stock market values
2010/12/20
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insi...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...