Dependence modeling with applications in financial econometrics

The amount of data available in banking, finance and economics steadily increases due to the ongoing technological progress and the continuing digitalization. A key element of many econometric models for analyzing this data are methods for assessing dependencies, cross-sectionally as well as intertemporally. For this reason, the thesis is centered around statistical and econometric methods for dependence modeling with applications in financial econometrics. The first part of this cumulative dissertation consists of three contributions. The first contribution provides a thorough explanation of the partial copula. It is a natural generalization of the partial correlation coefficient and several of its properties are investigated. In the second contribution, a different multivariate generalization of the partial correlation, the partial vine copula (PVC), is introduced. The PVC is a specific simplified vine copula (SVC) consisting of bivariate higher-order partial copulas, which are copula-based generalizations of sequentially computed partial correlations. Several properties of the PVC are presented and it is shown that, if SVCs are considered as approximations of multivariate distributions, the PVC has a special role as it is the limit of stepwise estimators. The third contribution introduces statistical tests for the simplifying assumption with a special focus on high-dimensional vine copulas. We propose a computationally feasible test for the simplifying assumption in high-dimensions, which is successfully applied to data sets with up to 49 dimensions. The novel test procedure is based on a decision tree which is used to identify the possibly strongest violation of the simplifying assumption. The asymptotic distribution of the test statistic is derived under consideration of estimation uncertainty in the copula parameters. The finite sample performance is analyzed in an extensive simulation study and the results show that the power of the test only slightly decreases in the dimensionality of the test problem. In the second part of the dissertation, the assessment of risk measures is studied with a special focus on the financial return data used for estimation. It is shown that the choice of the sampling scheme can greatly affect the results of risk assessment procedures if the assessment frequency and forecasting horizon are fixed. Specifically, we study sequences of variance estimates and show that they exhibit spurious seasonality, if the assessment frequency is higher than the sampling frequency of non-overlapping return data. The root cause of spurious seasonality is identified by deriving the theoretical autocorrelation function of sequences of variance estimates under general assumptions. To overcome spurious seasonality, alternative variance estimators based on overlapping return data are suggested. The third part of the dissertation is about state space methods for systems with lagged states in the measurement equation. Recently, a low-dimensional modified Kalman filter and smoother for such systems was proposed in the literature. Special attention is paid to the modified Kalman smoother, for which it is shown that the suggested smoother in general does not minimize the mean squared error (MSE). The correct MSE-minimizing modified Kalman smoother is derived and computationally more efficient smoothing algorithms are discussed. Finally, a comparison of the competing smoothers with regards to the MSE is performed

Towards Improved Prediction of Ship Performance: A Comparative Analysis on In-service Ship Monitoring Data for Modeling the Speed-Power Relation

Accurate modeling of ship performance is crucial for the shipping industry to optimize fuel consumption and subsequently reduce emissions. However, predicting the speed-power relation in real-world conditions remains a challenge. In this study, we used in-service monitoring data from multiple vessels with different hull shapes to compare the accuracy of data-driven machine learning (ML) algorithms to traditional methods for assessing ship performance. Our analysis consists of two main parts: (1) a comparison of sea trial curves with calm-water curves fitted on operational data, and (2) a benchmark of multiple added wave resistance theories with an ML-based approach. Our results showed that a simple neural network outperformed established semi-empirical formulas following first principles. The neural network only required operational data as input, while the traditional methods required extensive ship particulars that are often unavailable. These findings suggest that data-driven algorithms may be more effective for predicting ship performance in practical applications.Comment: 15 page

Complex Surface Displacements above the Storage Cavern Field at Epe, NW-Germany, Observed by Multi-Temporal SAR-Interferometry

The storage cavern field at Epe has been brined out of a salt deposit belonging to the lower Rhine salt flat, which extends under the surface of the North German lowlands and part of the Netherlands. Cavern convergence and operational pressure changes cause surface displacements that have been studied for this work with the help of SAR interferometry (InSAR) using distributed and persistent scatterers. Vertical and East-West movements have been determined based on Sentinel-1 data from ascending and descending orbit. Simple geophysical modeling is used to support InSAR processing and helps to interpret the observations. In particular, an approach is presented that allows to relate the deposit pressures with the observed surface displacements. Seasonal movements occurring over a fen situated over the western part of the storage site further complicate the analysis. Findings are validated with ground truth from levelling and groundwater level measurements

Dependence modeling with applications in financial econometrics

The amount of data available in banking, finance and economics steadily increases due to the ongoing technological progress and the continuing digitalization. A key element of many econometric models for analyzing this data are methods for assessing dependencies, cross-sectionally as well as intertemporally. For this reason, the thesis is centered around statistical and econometric methods for dependence modeling with applications in financial econometrics. The first part of this cumulative dissertation consists of three contributions. The first contribution provides a thorough explanation of the partial copula. It is a natural generalization of the partial correlation coefficient and several of its properties are investigated. In the second contribution, a different multivariate generalization of the partial correlation, the partial vine copula (PVC), is introduced. The PVC is a specific simplified vine copula (SVC) consisting of bivariate higher-order partial copulas, which are copula-based generalizations of sequentially computed partial correlations. Several properties of the PVC are presented and it is shown that, if SVCs are considered as approximations of multivariate distributions, the PVC has a special role as it is the limit of stepwise estimators. The third contribution introduces statistical tests for the simplifying assumption with a special focus on high-dimensional vine copulas. We propose a computationally feasible test for the simplifying assumption in high-dimensions, which is successfully applied to data sets with up to 49 dimensions. The novel test procedure is based on a decision tree which is used to identify the possibly strongest violation of the simplifying assumption. The asymptotic distribution of the test statistic is derived under consideration of estimation uncertainty in the copula parameters. The finite sample performance is analyzed in an extensive simulation study and the results show that the power of the test only slightly decreases in the dimensionality of the test problem. In the second part of the dissertation, the assessment of risk measures is studied with a special focus on the financial return data used for estimation. It is shown that the choice of the sampling scheme can greatly affect the results of risk assessment procedures if the assessment frequency and forecasting horizon are fixed. Specifically, we study sequences of variance estimates and show that they exhibit spurious seasonality, if the assessment frequency is higher than the sampling frequency of non-overlapping return data. The root cause of spurious seasonality is identified by deriving the theoretical autocorrelation function of sequences of variance estimates under general assumptions. To overcome spurious seasonality, alternative variance estimators based on overlapping return data are suggested. The third part of the dissertation is about state space methods for systems with lagged states in the measurement equation. Recently, a low-dimensional modified Kalman filter and smoother for such systems was proposed in the literature. Special attention is paid to the modified Kalman smoother, for which it is shown that the suggested smoother in general does not minimize the mean squared error (MSE). The correct MSE-minimizing modified Kalman smoother is derived and computationally more efficient smoothing algorithms are discussed. Finally, a comparison of the competing smoothers with regards to the MSE is performed

ONE SIZE FITS ALL? THE CONTINGENT ROLE OF CENTRALITY IN IT NETWORK GOVERNANCE

Inter-organizational collaboration in terms of co-creation, co-development, and co-innovation relies heavily on integrated information systems that support reciprocal relations among member organizations. Ensuring desirable behavior in the use of these inter-organizational IT resources is subject to the emerging research on IT network governance. While past studies have concentrated on singular governance arrangements, there is no study that examines the fit of governance choice and internal and external network factors on governance effectiveness. This paper contributes with a characterization of IT network governance arrangements along the degree of centralization of IT-related decision making. Three archetypes are distinguished: a decentralized mode, a hybrid mode, and a centralized mode. Moreover, a contingency model is developed proposing effective governance arrangements according to six contingency variables. A multiple case study methodology is applied with five case sides for validation. Our data indicate support for both the theoretical archetypes and the contingency model. The results suggest that network size, network structure centralization, functional diversity, network trust, IT infusion, and IT competence are important contingencies for the understanding of effective IT network governance arrangements. This research is a first step into a contingent perspective on inter-organizational IT governance arrangements

Depth map from the combination of matched points with active contours

IEEE Intelligent Vehicles Symposium (IVS), 2000, Dearborn (EE.UU.)This paper describes the analysis of an active contour fitted to a target in a sequence of images recorded by a freely moving uncalibrated camera. The motivating application is the visual guidance of a robot towards a target. Contour deformations are analysed to extract the scaled depth of the target, and to explore the feasibility of 3D egomotion recovery. The scaled depth is used to compute the time to contact, which provides a measure of distance to the target, and also to improve the common depth maps obtained from point matches, which are a valuable input for the robot to avoid obstacles.This work was supported by the project 'Navegación basada en visión de robots autónomos en entornos no estructurados.' (070-724).Peer Reviewe