Browsing by Author "Ristig, Alexander"

Now showing items 1-5 of 5

2015-08-03Buch

Conditional Systemic Risk with Penalized Copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey; Trück, Stefan

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion ...
2014-01-27Buch

Efficient Iterative Maximum Likelihood Estimation ofHigh-Parameterized Time Series Models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient ...
2012-05-22Buch

Hierarchical Archimedean Copulae

The HAC Package

Okhrin, Ostap; Ristig, Alexander

This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to ...
2012-09-12Buch

Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate ...
2012-02-03Masterarbeit

Modelling of vector MEM with hierarchical Archimedean copula

Ristig, Alexander

Die ökonometrische Analyse hochfrequenter Daten befasst sich oft mit der Modellierung von Prozessen, die auf den positiven reellen Zahlen definiert sind und eine starke Persistenz aufweisen, zum Beispiel die bedingte Zeit ...