Copula Structure Analysis Based on Robust and Extreme Dependence Measures

In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a correlation-like structure remains but different margins and non-existence of moments are possible. Moreover, elliptical copulae allow also for a copula structure analysis of dependence in extremes. After introducing the new concepts and deriving some theoretical results we observe in a simulation study the performance of the estimators: the theoretical asymptotic behavior of the statistics can be observed even for a sample of only 100 observations. Finally, we test our method on real financial data and explain differences between our copula based approach and the classical approach. Our new method yields a considerable dimension reduction also in non-linear models

Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our new method at work we apply it to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

Estimating Tail Dependence of Elliptical Distributions

Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this paper we study two estimators for the tail dependence function, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second order regular variation estimates and proving asymptotic normality for both estimators, we show that the estimator based on the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic variance and optimal asymptotic mean squared error.Our theoretical results are confirmed by a simulation study

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure and other devices measuring extreme dependence. We also apply our method to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

Library Scholarly Communication Initiatives at the University of North Dakota

Librarians at the University of North Dakota (UND) are implementing scholarly communication initiatives in partnership with faculty and other campus groups to bring about a greater awareness and understanding of related topics, including: open access, open educational resources, researcher IDs and communities, metrics and altmetrics, journal quality indicators, data management, copyright and author’s rights, and publishing strategies. At UND, there is a campus-wide effort for colleges to identify the top high quality journals in their fields or disciplines, and to track faculty scholarly publishing/research outputs for heightened research visibility and impact. The presenters share their experience engaging in these initiatives, as well as information on the broader environment surrounding scholarly communication activities on campus.https://commons.und.edu/cfl-lpp/1004/thumbnail.jp

Multivariate Tail Copula: Modeling and Estimation

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail copula is very inefficient and fitting a parametric model to tail copulas is not robust. In this paper we propose a semi-parametric model for tail copulas via an elliptical copula. Based on this model assumption, we propose a novel estimator for the tail copula, which proves favourable compared to the empirical tail copula, both theoretically and empirically

The mod 2 homology of infinite loopspaces

We study the spectral sequence that one obtains by applying mod 2 homology to the Goodwillie tower which sends a spectrum X to the suspension spectrum of its 0th space X_0. This converges strongly to H_*(X_0) when X is 0-connected. The E^1 term is the homology of the extended powers of X, and thus is a well known functor of H_*(X), including structure as a bigraded Hopf algebra, a right module over the mod 2 Steenrod algebra A, and a left module over the Dyer-Lashof operations. Hopf algebra considerations show that all pages of the spectral sequence are primitively generated, with primitives equal to a subquotient of the primitives in E^1. We use an operad structure on the tower and the Z/2 Tate construction to show how Dyer-Lashof operations and differentials interact. These then determine differentials that hold for any spectrum X. These universal differentials then lead us to construct, for every A-module M, an algebraic spectral sequence depending functorially on M. The algebraic spectral sequence for H_*(X) agrees with the topological spectral sequence for X for many spectra, including suspension spectra and almost all generalized Eilenberg-MacLane spectra, and appears to give an upper bound in general. The E^infty term of the algebraic spectral sequence has form and structure similar to E^1, but now the right A-module structure is unstable. Our explicit formula involves the derived functors of destabilization as studied in the 1980's by W. Singer, J. Lannes and S. Zarati, and P. Goerss.Comment: 45 pages, latest version has reorganized examples, and makes better use of Hopf algebra methods. Now appeared in AGT 13 (2013

Projeto de um edifício hotel de 12 andares em concreto armado com a utilização do software TQS

Este trabalho consiste na elaboração do projeto estrutural de um edifício hotel de 12 pavimentos em concreto armado, desenvolvido a partir de plantas arquitetônicas em fase de estudo preliminar. O projeto é elaborado contemplando desde a etapa de concepção estrutural, que deve ser feita de maneira a respeitar o desenho projetivo proposto pela arquitetura e, ao mesmo tempo, garantir uma estrutura segura e confortável aos usuários, até a etapa de produção das pranchas de detalhamento, que devem ser feitas da forma mais clara e detalhada possível para garantir a correta execução na obra. O trabalho também contempla as etapas de lançamento, dimensionamento e verificação dos elementos estruturais de concreto armado. Para esta tarefa foi utilizado o software TQS, que é um programa especializado em projetos estruturais em concreto armado e é referência no mercado brasileiro pela sua eficiência e riqueza de recursos. Além da produção das plantas de detalhamento, outro objetivo do trabalho é a integração com plataforma BIM (Building Information Modeling) através da geração de um arquivo de modelo 3D da edificação

Tau EDM at Low Energies

Low energy tau pair production, at B factories and on top of the $\Upsilon$ resonances, allows for a detailed investigation on the CP violation at the electromagnetic tau pair production vertex. High statistic available at low energies offers the opportunity for an independent analysis of CP-violation in the $\tau$ lepton physics. We show that stringent and independent bounds on the $\tau$ electric dipole moment, competitive with the high energy measurements, can be established in low energies experiments.Comment: Talk at the Seventh International Workshop on Tau Lepton Physics (TAU02), Santa Cruz, Ca, USA, Sept 2002, 5 pages, LaTeX, 1 eps figur