Central Bank Research Hub - JEL classification C46: Specific Distributions
http://www.bis.org/cbhub/list/jel_classification/jel_C46/index.rss
Latest research hub papers with the JEL classification:C46en05Oct/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