Moments expansion densities for quantifying financial risk
نویسندگان
چکیده
منابع مشابه
Moments of the Gaussian Β Ensembles and the Large-n Expansion of the Densities
The loop equation formalism is used to compute the 1/N expansion of the resolvent for the Gaussian β ensemble up to and including the term at O(N−6). This allows the moments of the eigenvalue density to be computed up to and including the 12-th power and the smoothed density to be expanded up to and including the term at O(N−6). The latter contain non-integrable singularities at the endpoints o...
متن کاملFinancial Risk Measurement for Financial Risk Management∗
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...
متن کاملMoments for General Quadratic Densities in n Dimensions ∗
We present the calculation of the generating functions and the rth-order moments for densities of the form ρ(x) ∝ g(s(x)) where g(s) is a non-negative function of the quadratic “action” s(x) = ∑ i,j Hijxixj , where x = (x1, x2, · · · , xn) is a real n-dimensional vector and H is a real, symmetric n× n matrix whose eigenvalues are strictly positive. In particular, we find the connection between ...
متن کاملAccurate Approximations for Posterior Moments and Marginal Densities
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملQuantifying instabilities in Financial Markets
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The North American Journal of Economics and Finance
سال: 2017
ISSN: 1062-9408
DOI: 10.1016/j.najef.2017.06.002