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Coalition-Proofness and Correlation with Arbitrary Communication Possibilities
Coalition-Proofness Correlation Arbitrary Communication Possibilities
2015/7/21
The ability of the members of a coalition to communicate secretly determines whether the coalition can coordinate to deviate from a proposed strategy and thus affects which strategies are ‘‘coalition ...
A higher order correlation unscented Kalman filter
Sequential Parameter Estimation Nonlinear Systems Unscented Kalman Filter Continuous-discrete State Space Estimation of Uncorrelated States Volatility Estimation
2012/9/14
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in man...
上海财经大学经济学院高级计量经济学I课件Lecture 5 Heteroscedasticity and Serial Correlation
上海财经大学经济学院 高级计量经济学I 课件 Lecture 5 Heteroscedasticity Serial Correlation
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 5 Heteroscedasticity and Serial Correlation.
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Multifractal detrending moving average cross-correlation analysis
cross-correlations multifractal detrended cross-correlation analysis extensive numerical experiments
2011/3/30
There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correla...
Correlation of financial markets in times of crisis
eigenvalues financial market volatility
2011/3/23
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correl...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Marking Systemic Portfolio Risk the Correlation Skew of Equity Baskets
2011/1/4
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlatio...
A la Carte of Correlation Models: Which One to Choose?
copula contagion mixture model exponential decay counterparty risk
2010/10/22
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage ...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Di erentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/10/19
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Relative Goods’ Prices, Pure Inflation, and The Phillips Correlation
Relative Goods Prices Pure Inflation The Phillips Correlation
2014/3/18
This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices in the United States since 1959 to separate them into three independent components: idiosyncratic relative...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...