6 papers
Non-Parametric Estimation Techniques of Factor Copula Model using Proxies
Bahareh Ghanbari, Pavel Krupskiy, Laleh Tafakori +1
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, ac…
Forecasting realized covariances using HAR-type models
Matias Quiroz, Laleh Tafakori, Hans Manner
We investigate methods for forecasting multivariate realized covariances matrices applied to a set of 30 assets that were included in the DJ30 index at some point, including two no…
Distance covariance for random fields
Muneya Matsui, Thomas Mikosch, Rasool Roozegar +1
We study an independence test based on distance correlation for random fields . We consider the situations when is observed on a lattice with equidistant grid sizes…
Measuring systemic risk and contagion in the European financial network
Laleh Tafakori, Armin Pourkhanali, Riccardo Rastelli
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and deve…
Distance covariance for discretized stochastic processes
Herold Dehling, Muneya Matsui, Thomas Mikosch +2
Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance an…
An estimator of the stable tail dependence function based on the empirical beta copula
Anna Kiriliouk, Johan Segers, Laleh Tafakori
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the l…