Asymmetric Conditional Correlations in Stock Returns

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：william_wng

【摘要】

：

Modeling and estimation of correlation coefficient is a fundamental step in risk management,especially with the aftermath of the financial crisis in 2008,which challenged the traditional measuring of

【作者】

：

Hui Jiang Patrick W.Saart Yingcun Xia

【机构】

：

Huazhong University of Science and Technology,China

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

conditional cross-correlation coefficient kernel smoothing reduced rank model se

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　Modeling and estimation of correlation coefficient is a fundamental step in risk management,especially with the aftermath of the financial crisis in 2008,which challenged the traditional measuring of dependence in financial market.

其他文献

Distributed Detection Fusion via Monte Carlo Importance Sampling

Distributed detection fusion with high-dimension conditionally dependent observations is known to be a challenging problem.

会议

Distributed detectionMonte Carlo importance samplingdependent observationssen

Logical Inference on Treatment Efficacy in Subgroups and Their Mixtures

会议

Linear Model Selection when Covariates Contain Errors

Prediction precision is arguably the most relevant criterion of a model in practice and is often a sought after property.

会议

Errors in covariatesLoss efficiencyMeasurement errorModel selectionSelection

Testing against the constancy of large dimensional factor loading matrix with high frequency data

In this paper,we introduce a nonparametric test against the constancy of the factor loading matrix of large dimensional continuous time factor model using high frequency data.

会议

Continuous time factor modelHigh dimensional Ito processFactor loading process

A Class of RSN Distributions and Its Applications

A screening problem is tackled by proposing a parametric class of distributions designed to match the behavior of the partially observed screened data.

会议

truncated multivariate normal distributionrectangle-screened multivariate distr

Stable Prediction in High-Dimensional Linear Models

We propose a Random Splitting Model Averaging procedure,RSMA,to achieve stable predictions in high-dimensional linear models.

会议

Model averagingVariable selectionPenalized regressionScreening

ESTIMATING THE SMOOTHNESS OF A GAUSSIAN RANDOM FIELD FROM IRREGULARLY SPACED DATA

This talk focuses on a method for estimating the smoothness of a stationary,isotropic Gaussian random field from irregularly spaced data.

会议

Gaussian random fieldhigher-order quadratic variationirregularly spaced dataM

Discrete time zero-sum Markov games with first passage criteria

In this paper we deal with two-person zero-sum stochastic games for discrete time Markov processes.

会议

zero-sum stochastic gamesstate-dependentdiscount payofffirst passage timeopt

Survival Impact Index and Ultrahigh-dimensional Model-free Screening with Survival Outcomes

Motivated by ultrahigh-dimensional biomarkers screening studies,we propose a modelfree screening approach tailored to censored lifetime outcomes.

会议

CensoringSurvival distributionRanking genesIndependent screeningKaplan-Meier

On singular value distribution of large-dimensional autocovariance matrices

Let(εj)j≥0 be a sequence of independent p-dimensional random vectors and τ≥ 1 a given integer.From a sample ε1,...,εT+τ of the sequence,the so-called lag- auto-covariance matrix is C τ = T-1∑Tj =1

会议

Random matrix theoryLarge-dimensional auto-covariance matrixLimiting spectral

Asymmetric Conditional Correlations in Stock Returns

其他学术论文