Matches in SemOpenAlex for { <https://semopenalex.org/work/W3127336134> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W3127336134 abstract "We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint heavy-tailed random vectors featuring not only distinct marginal tail heaviness, but also flexible tail dependence structure. The novelty lies in that pairwise tail dependence between any two dimensions is modeled separately from their correlation, and can vary respectively according to its own parameter rather than the correlation parameter, which is an essential advantage over many commonly used methods such as multivariate $t$ or elliptical distribution. It is also intuitive to interpret, easy to track, and simple to sample comparing to the copula approach. We show its flexible tail dependence structure through simulation. Coupled with a GARCH model to eliminate serial dependence of each individual asset return series, we use this novel method to model and forecast multivariate conditional distribution of stock returns, and obtain notable performance improvements in multi-dimensional coverage tests. Besides, our empirical finding about the asymmetry of tails of the idiosyncratic component as well as the market component is interesting and worth to be well studied in the future." @default.
- W3127336134 created "2021-02-15" @default.
- W3127336134 creator A5011319089 @default.
- W3127336134 creator A5038360373 @default.
- W3127336134 creator A5056377449 @default.
- W3127336134 date "2019-01-01" @default.
- W3127336134 modified "2023-09-23" @default.
- W3127336134 title "Cross-sectional Learning of Extremal Dependence among Financial Assets" @default.
- W3127336134 hasPublicationYear "2019" @default.
- W3127336134 type Work @default.
- W3127336134 sameAs 3127336134 @default.
- W3127336134 citedByCount "0" @default.
- W3127336134 crossrefType "posted-content" @default.
- W3127336134 hasAuthorship W3127336134A5011319089 @default.
- W3127336134 hasAuthorship W3127336134A5038360373 @default.
- W3127336134 hasAuthorship W3127336134A5056377449 @default.
- W3127336134 hasConcept C105795698 @default.
- W3127336134 hasConcept C122123141 @default.
- W3127336134 hasConcept C130545031 @default.
- W3127336134 hasConcept C149782125 @default.
- W3127336134 hasConcept C161584116 @default.
- W3127336134 hasConcept C165216359 @default.
- W3127336134 hasConcept C172713675 @default.
- W3127336134 hasConcept C17618745 @default.
- W3127336134 hasConcept C177384507 @default.
- W3127336134 hasConcept C184898388 @default.
- W3127336134 hasConcept C18653775 @default.
- W3127336134 hasConcept C2777606061 @default.
- W3127336134 hasConcept C33923547 @default.
- W3127336134 hasConcept C41008148 @default.
- W3127336134 hasConceptScore W3127336134C105795698 @default.
- W3127336134 hasConceptScore W3127336134C122123141 @default.
- W3127336134 hasConceptScore W3127336134C130545031 @default.
- W3127336134 hasConceptScore W3127336134C149782125 @default.
- W3127336134 hasConceptScore W3127336134C161584116 @default.
- W3127336134 hasConceptScore W3127336134C165216359 @default.
- W3127336134 hasConceptScore W3127336134C172713675 @default.
- W3127336134 hasConceptScore W3127336134C17618745 @default.
- W3127336134 hasConceptScore W3127336134C177384507 @default.
- W3127336134 hasConceptScore W3127336134C184898388 @default.
- W3127336134 hasConceptScore W3127336134C18653775 @default.
- W3127336134 hasConceptScore W3127336134C2777606061 @default.
- W3127336134 hasConceptScore W3127336134C33923547 @default.
- W3127336134 hasConceptScore W3127336134C41008148 @default.
- W3127336134 hasOpenAccess W3127336134 @default.
- W3127336134 hasRelatedWork W1538264853 @default.
- W3127336134 hasRelatedWork W1562239343 @default.
- W3127336134 hasRelatedWork W1566063264 @default.
- W3127336134 hasRelatedWork W1729963006 @default.
- W3127336134 hasRelatedWork W2036405411 @default.
- W3127336134 hasRelatedWork W2044643784 @default.
- W3127336134 hasRelatedWork W2099595349 @default.
- W3127336134 hasRelatedWork W2219855850 @default.
- W3127336134 hasRelatedWork W2269031750 @default.
- W3127336134 hasRelatedWork W2323574444 @default.
- W3127336134 hasRelatedWork W249562193 @default.
- W3127336134 hasRelatedWork W2803757323 @default.
- W3127336134 hasRelatedWork W2890246169 @default.
- W3127336134 hasRelatedWork W2947044224 @default.
- W3127336134 hasRelatedWork W3100346333 @default.
- W3127336134 hasRelatedWork W3122143156 @default.
- W3127336134 hasRelatedWork W3123343193 @default.
- W3127336134 hasRelatedWork W3147974798 @default.
- W3127336134 hasRelatedWork W781670054 @default.
- W3127336134 hasRelatedWork W2135584866 @default.
- W3127336134 isParatext "false" @default.
- W3127336134 isRetracted "false" @default.
- W3127336134 magId "3127336134" @default.
- W3127336134 workType "article" @default.