1,673 research outputs found
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
Oil is perceived as a good diversification tool for stock markets. To fully
understand this potential, we propose a new empirical methodology that combines
generalized autoregressive score copula functions with high frequency data and
allows us to capture and forecast the conditional time-varying joint
distribution of the oil -- stocks pair accurately. Our realized GARCH with
time-varying copula yields statistically better forecasts of the dependence and
quantiles of the distribution relative to competing models. Employing a
recently proposed conditional diversification benefits measure that considers
higher-order moments and nonlinear dependence from tail events, we document
decreasing benefits from diversification over the past ten years. The
diversification benefits implied by our empirical model are, moreover, strongly
varied over time. These findings have important implications for asset
allocation, as the benefits of including oil in stock portfolios may not be as
large as perceived
An overview of the goodness-of-fit test problem for copulas
We review the main "omnibus procedures" for goodness-of-fit testing for
copulas: tests based on the empirical copula process, on probability integral
transformations, on Kendall's dependence function, etc, and some corresponding
reductions of dimension techniques. The problems of finding asymptotic
distribution-free test statistics and the calculation of reliable p-values are
discussed. Some particular cases, like convenient tests for time-dependent
copulas, for Archimedean or extreme-value copulas, etc, are dealt with.
Finally, the practical performances of the proposed approaches are briefly
summarized
Approximate Bayesian inference in semiparametric copula models
We describe a simple method for making inference on a functional of a
multivariate distribution. The method is based on a copula representation of
the multivariate distribution and it is based on the properties of an
Approximate Bayesian Monte Carlo algorithm, where the proposed values of the
functional of interest are weighed in terms of their empirical likelihood. This
method is particularly useful when the "true" likelihood function associated
with the working model is too costly to evaluate or when the working model is
only partially specified.Comment: 27 pages, 18 figure
Statistical Significance Testing in Information Retrieval: An Empirical Analysis of Type I, Type II and Type III Errors
Statistical significance testing is widely accepted as a means to assess how
well a difference in effectiveness reflects an actual difference between
systems, as opposed to random noise because of the selection of topics.
According to recent surveys on SIGIR, CIKM, ECIR and TOIS papers, the t-test is
the most popular choice among IR researchers. However, previous work has
suggested computer intensive tests like the bootstrap or the permutation test,
based mainly on theoretical arguments. On empirical grounds, others have
suggested non-parametric alternatives such as the Wilcoxon test. Indeed, the
question of which tests we should use has accompanied IR and related fields for
decades now. Previous theoretical studies on this matter were limited in that
we know that test assumptions are not met in IR experiments, and empirical
studies were limited in that we do not have the necessary control over the null
hypotheses to compute actual Type I and Type II error rates under realistic
conditions. Therefore, not only is it unclear which test to use, but also how
much trust we should put in them. In contrast to past studies, in this paper we
employ a recent simulation methodology from TREC data to go around these
limitations. Our study comprises over 500 million p-values computed for a range
of tests, systems, effectiveness measures, topic set sizes and effect sizes,
and for both the 2-tail and 1-tail cases. Having such a large supply of IR
evaluation data with full knowledge of the null hypotheses, we are finally in a
position to evaluate how well statistical significance tests really behave with
IR data, and make sound recommendations for practitioners.Comment: 10 pages, 6 figures, SIGIR 201
Copulas in finance and insurance
Copulas provide a potential useful modeling tool to represent the dependence structure
among variables and to generate joint distributions by combining given marginal
distributions. Simulations play a relevant role in finance and insurance. They are used to
replicate efficient frontiers or extremal values, to price options, to estimate joint risks, and so
on. Using copulas, it is easy to construct and simulate from multivariate distributions based
on almost any choice of marginals and any type of dependence structure. In this paper we
outline recent contributions of statistical modeling using copulas in finance and insurance.
We review issues related to the notion of copulas, copula families, copula-based dynamic and
static dependence structure, copulas and latent factor models and simulation of copulas.
Finally, we outline hot topics in copulas with a special focus on model selection and
goodness-of-fit testing
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