Central Bank Research Hub - JEL classification C46: Econometric and Statistical Methods: Special Topics: Specific Distributions; Specific Statistics
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Latest research hub papers with the JEL classification:C46en05Jul/Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
http://www.federalreserve.gov/econresdata/feds/2016/files/2016065pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Dobrislav Dobrev, Travis D. Nesmith, and Dong Hwan OhAccurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors2016-07-05T12:37:00ZWe provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in the recent comprehensive survey by Nadarajah, Zhang, and Chan (2014) on estimation methods for expected shortfall. In particular, we show that the correction we provide in the popular multivariate Student t setting eliminates understatement of expected shortfall by a factor varying from at least 4 to more than 100 across different tail quantiles and degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall estimation in practice.Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors2016-07-05T12:37:00ZFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016065pap.pdfTravis D. NesmithDong Hwan OhDobrislav DobrevDobrislav Dobrev, Travis D. Nesmith, and Dong Hwan Oh2016-08Board of Governors of the Federal Reserve System FEDS seriesC46G1105Oct/Co-movement of revisions in short- and long-term inflation expectations
http://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=866
Bank of Portugal Working papers by António R. AntunesCo-movement of revisions in short- and long-term inflation expectations2015-10-05T17:32:00ZThis article studies the co-movement between large daily revisions of short- and long-term inflation expectations using copulas. The main findings are: first, the co-movement between unusually large changes in short- and long-term inflation expectations increased markedly since mid-2012, which implies that long-term inflation expectations might not be, in a precise sense, well-anchored. Second, this co-movement measure is quite noisy. Finally, the result is shown not to be an artifact of the methodology or of the specific data used in the analysis.Co-movement of revisions in short- and long-term inflation expectations2015-10-05T17:32:00ZAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=866António R. AntunesAntónio R. Antunes2015-10Bank of Portugal Working papersC14C46G1208Jul/A Quadratic Kalman Filter
https://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT-486_01.pdf
Bank of France Working Papers by Alain Monfort, Jean-Paul Renne and Guillaume RousselletA Quadratic Kalman Filter2014-07-08T17:36:59ZWe propose a new filtering and smoothing technique for non-linear state-space models. Observed variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of factors with its vectorized outer-product, we form an augmented state vector whose first two conditional moments are known in closed-form. We also provide analytical formulae for the unconditional moments of this augmented vector. Our new quadratic Kalman filter (Qkf) exploits these properties to formulate fast and simple filtering and smoothing algorithms. A first simulation study emphasizes that the Qkf outperforms the extended and unscented approaches in the filtering exercise showing up to 70% RMSEs improvement of filtered values. Second, we provide evidence that Qkf-based maximum-likelihood estimates of model parameters always possess lower bias or lower RMSEs that the alternative estimators.A Quadratic Kalman Filter2014-07-08T17:36:59ZAbstracthttps://www.banque-france.fr/en/economics-statistics/research/working-paper-series/document/486-1.htmlFull texthttps://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT-486_01.pdfAlain MonfortJean-Paul RenneGuillaume RousselletAlain Monfort, Jean-Paul Renne and Guillaume Roussellet2014-05Bank of France Working PapersC32C46C5308Jul/Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective
http://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957
Bank of Italy Working Papers by Michele Leonardo BianchiAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective2014-07-08T12:33:00ZAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective2014-07-08T12:33:00ZAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957Full texthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957/en_tema_957.pdfMichele Leonardo BianchiMichele Leonardo Bianchi4Bank of Italy Working PapersC02C46G2330Dec/A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_2/2011/2011_12_30_dkp_16.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Natalia PuzanovaA hierarchical model of tail dependent asset returns for assessing portfolio credit risk2011-12-30T13:43:59ZA hierarchical model of tail dependent asset returns for assessing portfolio credit risk2011-12-30T13:43:59ZFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_2/2011/2011_12_30_dkp_16.pdf?__blob=publicationFileNatalia PuzanovaNatalia Puzanova2011-12-30Deutsche Bundesbank Discussion PapersC46C63G12G2107Nov/A hierarchical Archimedean copula for portfolio credit risk modelling
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_2/2011/2011_11_07_dkp_14.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Natalia PuzanovaA hierarchical Archimedean copula for portfolio credit risk modelling2011-11-07T13:43:59ZA hierarchical Archimedean copula for portfolio credit risk modelling2011-11-07T13:43:59ZFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_2/2011/2011_11_07_dkp_14.pdf?__blob=publicationFileNatalia PuzanovaNatalia Puzanova2011-11-07Deutsche Bundesbank Discussion PapersC46C63G2123Jun/Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201013.pdf
Bank of Portugal Working papers by Maximiano PinheiroMarginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables2010-06-23T12:46:00ZMarginal probability density and cumulative distribution functions are presented for multidimensional variables defined by non-singular affine transformations of vectors of independent two-piece normal variables, the most important subclass of Ferreira and Steel¿s general multivariate skewed distributions. The marginal functions are obtained by first expressing the joint density as a mixture of Arellano-Valle and Azzalini¿s unified skew-normal densities and then using the property of closure under marginalization of the latter class.Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables2010-06-23T12:46:00ZAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=500Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201013.pdfMaximiano PinheiroMaximiano Pinheiro2010-06Bank of Portugal Working papersC46