5 citations · 10 across the 5 of their papers we have counts for
5 papers
A note on the equivalence between the conditional uncorrelation and the independence of random variables
Piotr Jaworski, Damian Jelito, Marcin Pitera
It is well known that while the independence of random variables implies zero correlation, the opposite is not true. Namely, uncorrelated random variables are not necessarily indep…
On the dependence between a Wiener process and its running maxima and running minima processes
Karol Dąbrowski, Piotr Jaworski
We study a triple of stochastic processes: a Wiener process , , its running maxima process and its running minima process $m_t=\inf \…
A note on conditional covariance matrices for elliptical distributions
Piotr Jaworski, Marcin Pitera
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the va…
The 20-60-20 Rule
Piotr Jaworski, Marcin Pitera
In this paper we discuss an empirical phenomena known as the 20-60-20 rule. It says that if we split the population into three groups, according to some arbitrary benchmark criteri…
On Value at Risk for foreign exchange rates - the copula approach
Piotr Jaworski
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we…