Elliptical Distribution Family Research Papers (original) (raw)

This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional... more

This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability

Significant changes,in the insurance,and financial markets,are giving in- creasing attention to the need for developing,a standard,framework,for risk measurement. Recently, there has been growing interest among insurance and... more

Significant changes,in the insurance,and financial markets,are giving in- creasing attention to the need for developing,a standard,framework,for risk measurement. Recently, there has been growing interest among insurance and investment,experts,to focus on the use of a tail conditional expectation,be- cause it shares properties that are considered,desireable and applicable in a variety of situations. In particular, it satisfies requirements of a “coherent”

We are interested in the parametric class of Bilinear GARCH (BL-GARCH) models which are capable of simultaneously capturing the well known properties of financial retrun se- ries, volatility clustering and leverage effects. Specifically,... more

We are interested in the parametric class of Bilinear GARCH (BL-GARCH) models which are capable of simultaneously capturing the well known properties of financial retrun se- ries, volatility clustering and leverage effects. Specifically, as it is often observed that the distribution of many financial time series data has heavy tails, heavier than the Normal distribution, we examine, in this paper, the BL-GARCH model in a general setting under some non-normal distributions. We also propose and implement a maximum likelihood estimation (MLE) methodology for parameter estimation. To evaluate the small-sample performance of this method for various models, a Monte Carlo study is conducted. Finally, the capability of within-sample estimation, using the S&P 500 daily returns, is also studied.

This paper constructs a two-country (Home and Foreign) general equilibrium model of Schumpeterian growth without scale effects. The scale effects property is removed by introducing two distinct specifications in the knowledge production... more

This paper constructs a two-country (Home and Foreign) general equilibrium model of Schumpeterian growth without scale effects. The scale effects property is removed by introducing two distinct specifications in the knowledge production function: the permanent effect on growth (PEG) specification, which allows policy effects on long-run growth; and the temporary effects on growth (TEG) specification, which generates semi-endogenous long-run economic growth. In the present model, the direction of the effect of the size of innovations on the pattern of trade and Home’s relative wage depends on the way in which the scale effects property is removed. Under the PEG specification, changes in the size of innovations increase Home’s comparative advantage and its relative wage, while under the TEG specification, an increase in the size of innovations increases Home’s relative wage but with an ambiguous effect on its comparative advantage.

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often... more

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have heavy tails ; thus we examine the BL-GARCH model in a general setting under some

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often... more

In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have heavy tails ; thus we examine the BL-GARCH model in a general setting under some

In this paper, we present an extension of the properties of principal points, self-consistent points and elliptical distribution results obtained in the euclidean setting to the functional elliptical distribution case, i.e., when dealing... more

In this paper, we present an extension of the properties of principal points, self-consistent points and elliptical distribution results obtained in the euclidean setting to the functional elliptical distribution case, i.e., when dealing with random elements over a separable Hilbert space H.

We use N-body simulations to investigate the structure of dark halos in the standard Cold Dark Matter cosmogony. Halos are excised from simulations of cosmologically representative regions and are resimulated individually at high... more

We use N-body simulations to investigate the structure of dark halos in the standard Cold Dark Matter cosmogony. Halos are excised from simulations of cosmologically representative regions and are resimulated individually at high resolution. We study objects with masses ranging from those of dwarf galaxy halos to those of rich galaxy clusters. The spherically averaged density profiles of all our halos can be fit over two decades in radius by scaling a simple ``universal'' profile. The characteristic overdensity of a halo, or equivalently its concentration, correlates strongly with halo mass in a way which reflects the mass dependence of the epoch of halo formation. Halo profiles are approximately isothermal over a large range in radii, but are significantly shallower than r−2r^{-2}r−2 near the center and steeper than r−2r^{-2}r−2 near the virial radius. Matching the observed rotation curves of disk galaxies requires disk mass-to-light ratios to increase systematically with luminosity. Further, it suggests that the halos of bright galaxies depend only weakly on galaxy luminosity and have circular velocities significantly lower than the disk rotation speed. This may explain why luminosity and dynamics are uncorrelated in observed samples of binary galaxies and of satellite/spiral systems. For galaxy clusters, our halo models are consistent both with the presence of giant arcs and with the observed structure of the intracluster medium, and they suggest a simple explanation for the disparate estimates of cluster core radii found by previous authors. Our results also highlight two shortcomings of the CDM model. CDM halos are too concentrated to be consistent with the halo parameters inferred for dwarf irregulars, and the predicted abundance of galaxy halos is larger than the observed abundance of galaxies.