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Auflistung nach Autor "Giacomini, Enzo"
Anzeige der Publikationen 1-7 von 7
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2008-05-27DiskussionspapierDynamic Semiparametric Factor Models in RiskNeutral Density Estimation Giacomini, Enzo; Härdle, Wolfgang Karl; Krätschmer, VolkerDimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but ...
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2006-11-14DiskussionspapierInhomogeneous Dependency Modelling with Time Varying Copulae Giacomini, Enzo; Härdle, Wolfgang Karl; Ignatieva, Ekaterina; Spokoiny, VladimirMeasuring dependence in a multivariate time series is tantamount to modelling its dynamicstructure in space and time. In the context of a multivariate normally distributed time series,the evolution of the covariance (or ...
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2003-12-23MasterarbeitNeural Networks in Quantitative Finance Giacomini, Enzo
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2005-08-17MasterarbeitRisk Management with Copulae Giacomini, Enzo
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2007-05-03DiskussionspapierStatistics of Risk Aversion Giacomini, Enzo; Härdle, Wolfgang KarlInformation about risk preferences from investors is essential for modelling a wide range of quantitative finance applications. Valuable information related to preferences can be extracted from option prices through pricing ...
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2006-03-13DiskussionspapierTime Dependent Relative Risk Aversion Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang KarlRisk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians ...
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2005-02-10DiskussionspapierValue-at-Risk Calculations with Time Varying Copulae Giacomini, Enzo; Härdle, Wolfgang KarlValue-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant ...