Relation between non-exchangeability and measures of concordance of copulas

An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the relationship between various measures of dependence structure themselves.Comment: 27 pages, 11 figure

Constructing copulas from shock models with imprecise distributions

The omnipotence of copulas when modeling dependence given marg\-inal distributions in a multivariate stochastic situation is assured by the Sklar's theorem. Montes et al.\ (2015) suggest the notion of what they call an \emph{imprecise copula} that brings some of its power in bivariate case to the imprecise setting. When there is imprecision about the marginals, one can model the available information by means of $p$-boxes, that are pairs of ordered distribution functions. By analogy they introduce pairs of bivariate functions satisfying certain conditions. In this paper we introduce the imprecise versions of some classes of copulas emerging from shock models that are important in applications. The so obtained pairs of functions are not only imprecise copulas but satisfy an even stronger condition. The fact that this condition really is stronger is shown in Omladi\v{c} and Stopar (2019) thus raising the importance of our results. The main technical difficulty in developing our imprecise copulas lies in introducing an appropriate stochastic order on these bivariate objects

Multivariate Extremes in Financial Markets: New Statistical Testing Methods and Applications

This thesis studies dependence of extreme events in financial markets. Statistical tests, detecting peculiar properties of tail dependence, are proposed. Statistical properties are derived. Comprehensive simulation experiments illustrate the tests\u27 usefulness. Empirically, unknown tail structures in financial time series are revealed

Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation

Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large, so we develop a semiparametric estimation strategy, focusing on the Archimedean family of copulae and implementing this framework using particular members--the Clayton, Frank, and Gumbel copulae. We apply our framework to data from low-price, sealed-bid auctions used by the Michigan Department of Transportation to procure road-resurfacing services, rejecting the hypothesis of independence and finding significant (and high) affiliation in cost signals.first-price, sealed-bid auctions, copulae, affiliation

A review of the use of copulas in credit derivatives and the development of alternative methodologies

Credit derivatives and their modelling have received a lot of attention in recent years. Dependence between assets is a crucial property where the contingent payment depends on a basket of underlying assets. Prior to the recent global economic crisis, copulas had earned the reputation of being key tools for capturing this dependence. However, their popularity has been subsequently lost. In this dissertation we will examine the theory surrounding copulas and their usefulness when applied to modelling credit derivatives. First, some general mathematical theory will be presented. Following this introduction, we will look at various copulas that have been suggested for the use in credit derivatives, such as the Gaussian copula, the t-copula and the Archimedean family of copulas. We will discuss the features of these copulas that may make them attractive for modelling credit derivatives. We will then turn our attention to the pitfalls of copulas that may have caused their recent lack of popularity. Finally, we will examine alternative models that have been put forward for capturing this dependence in credit derivative

Untangling hotel industry’s inefficiency: An SFA approach applied to a renowned Portuguese hotel chain

The present paper explores the technical efficiency of four hotels from Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking is established from these four hotel units located in Portugal using Stochastic Frontier Analysis. This methodology allows to discriminate between measurement error and systematic inefficiencies in the estimation process enabling to investigate the main inefficiency causes. Several suggestions concerning efficiency improvement are undertaken for each hotel studied.info:eu-repo/semantics/publishedVersio