1,720,972 research outputs found
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
Full text linkWe study the dependence structure between the S&P500, the VIX Index, and implicit Interexpectile Differences, that are an alternative measure of implied volatility based on the notion of implicit expectile, recently introduced in Bellini et al. [Implicit expectiles and measures of implied volatility. Quant. Finance, 2018a, 18, 1851–1864]. After filtering the time series of the marginals by ARMA-(E)GARCH models, we fit several parametric families of copulas to the pairwise joint distribution of the residuals, in order to investigate the presence of radial asymmetry and asymptotic tail dependence. We find a negative dependence between S&P500 and both implied volatility indices and a positive dependence between VIX and Interexpectile Differences. The best fitting copulas seem relatively stable over time and display both asymmetry and strong tail dependence, in accordance with the leverage effec
Discrete time approximation of a COGARCH(p,q) model and its estimation
Full text linkIn this paper, we construct a sequence of discrete time stochastic processes
that converges in probability and in the Skorokhod metric to a COGARCH(p,q)
model. The result is useful for the estimation of the continuous model defined
for irregularly spaced time series data. The estimation procedure is based on
the maximization of a pseudo log-likelihood function and is implemented in the
yuima package
Option pricing in an exponential MixedTS Lévy process
Full text linkIn this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood function
Risk parity for Mixed Tempered Stable distributed sources of risk
Full text linkIn this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context. In particular, we use the Independent Component Analysis for a linear decomposition of portfolio risk factors. Each Independent Component is modeled with the Mixed Tempered Stable distribution. Risk parity optimal portfolio weights are calculated for three risk measures: Volatility, modified Value At Risk and modified Expected Shortfall. Empirical analysis is discussed in terms of out-of-sample performance and portfolio diversificatio
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Risk measurement using the mixed tempered stable distribution
No full textThe Mixed Tempered Stable distribution (MixedTS) recently introduced has as special cases parametric distributions used in asset return modelling such as the Variance Gamma (VG) and Tempered Stable. In this paper, we start from this flexible distribution and compare the historical estimates for the two homogeneous risk measures with the quantities obtained using direct numerical integration and the saddle-point approximation. The homogeneity property enables us to go further and look for the most important sources of risk. Although risk decomposition in a parametric context is not straightforward, modified versions of VaR and ES based on asymptotic expansions simplify the proble
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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