1,721,200 research outputs found
Marshall-Olkin Machinery and Power Mixing: The Mixed Generalized Marshall-Olkin Distribution
No full textIn this paper we consider the Marshall-Olkin technique of modeling the multivariate random lifetimes of the components of a system, as the first arrival times of some shock affecting part or the whole system and we analyze the possibility to add more dependence among the shocks and, as a consequence, among the lifetimes, through the power-mixing technique. This approach is applied to obtain extensions of the Generalized Marshall-Olkin distributions
A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks
Full text linkIn this paper we study the distributional properties of a vector of lifetimes modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common
shock afecting all the lifetimes is assumed, some dependence is allowed between each
idiosyncratic shock arrival time and the systemic one. The dependence structure of
the resulting distribution is studied through the analysis of its singularity, its associated
survival copula function and conditional hazard rates. Finally, some possible applications
to actuarial and credit risk financial products are proposed
Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures
No full textIn this paper we study the dependence properties of a family of bivariate distributions (that we call Archimedean-based Marshall-Olkin distributions) that extends the class of the Generalized Marshall-Olkin distributions of Li and Pellerey, J Multivar Anal, 102, (10), 1399â1409, 2011 in order to allow for an Archimedean type of dependence among the underlying shocksâ arrival times. The associated family of copulas (that we call Archimedean-based Marshall-Olkin copulas) includes several well known copula functions as specific cases for which we provide a different costruction and represents a particular case of implementation of Morillas, Metrika, 61, (2), 169â184, 2005 construction. It is shown that Archimedean-based copulas are obtained through suitable transformations of bivariate Archimedean copulas: this induces asymmetry, and the corresponding Kendallâs function and Kendallâs tau as well as the tail dependence parameters are studied. The type of dependence so modeled is wide and illustrated through examples and the validity of the weak Lack of memory property (characterizing the Marshall-Olkin distribution) is also investigated and the sub-family of distributions satisfying it identified. Moreover, the main theoretical results are extended to the multidimensional version of the considered distributions and estimation issues discussed
New characterizations of bivariate discrete Schur-constant models
Full text linkWe present two characterizations of bivariate discrete Schur-constant models corresponding to continuous case statements
Implied dividend bounds in option prices: anatomy of two markets
Full text linkWe propose a measure of uncertainty of a dividend paying asset based on the crosssection
of bid-ask spreads of options. This is the difference between the cheapest
synthetic long position of the asset that it is possible to construct using European
options and the most expensive short position that can be constructed at the same time
for the same maturity. For index and stock option applications this measure can be
compared with other direct measures of uncertainty such as the bid-ask spread of the
futuresmarket on the underlying or their dividend. It turns out that for index options the
measure is tighter than the bid-ask spread of the futures market for maturities longer
than the first two futures contracts. The comparison of the measure for individual
stock options with dividend futures gives mixed results. Finally, applying a two-tail
distortion (2TD) model we find an asymmetric setting of option ask and bid prices
with respect to the reference model. Most of the distortion is loaded on the ask call
price and bid put prices. This corresponds to asymmetric uncertainty in dividend yield
expectations, which put more weight on low dividends
Bid-ask bounds for option prices: the two-tail distortion model
No full textWe model the bid-ask spreads of call and put options by a two-tail distortion (2TD) of a reference
probability distribution. The model applies the Choquet pricing approach with no-arbitrage restrictions, requiring a duality relationship between the capacities pricing long and short positions of call and put options. Moreover, the put-call parity relationship requires that the sum of bid-ask spreads of call and put options with the same strike be invariant across the strikes. We calibrate the 2TD model with a simple Sugeno distortion on a sample of two months daily data for three stock indexes and three different reference models and show that the 2TD generally provides a better fit to the data than the standard distortion of one tail only. Moreover, the estimate of the distortion parameter happens to be very similar across the different models
Pseudo-moment generating functions: Application to pseudo-Schur constant random vectors
No full textIn this note we show that pseudo-analysis tools can be effective in obtaining results in a distorted probability framework. More precisely, we introduce the notion of pseudo-independence and that of pseudo-moment generating function, the latter representing a generalization of the pseudo-Laplace transform, and both aiming at extending the corresponding notions in the usual probabilistic context. We show that these concepts and their properties, and more in general pseudo-analysis, are particularly useful to provide characterization results for a class of bivariate random vectors that we call “pseudo-Schur constant” family which represents an extension of the Schur-constant class
Probability solutions of the Sincov’s functional equation on the set of nonnegative integers
Full text linkIn this note, we establish when the bivariate discrete Schurconstant models possess the Sibuya-type aging property. It happens that the corresponding class is large, solving the counterpart of classical Sincov’s functional equation on the set of nonnegative integers
Convolution copula econometrics
No full textThis book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field
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