A Fat-Tailed, Flexible, Asset Return Model
The asymptotic loss distribution in a fat-tailed factor model of portfolio credit risk
... uniform model to a setup where the systematic risk factor is non-normally ...the return distributions, the densities and the quantile functions when the common factor follows two types of normal mixture ...
32
The effect of learning on climate policy under fat tailed uncertainty
... assessment model of the economy and climate change with dynamic programming take a similar approach to the methods ...a flexible basis ...the model time ...
45
Building a dynamic correlation network for fat-tailed financial asset returns
... financial asset returns is ...financial asset returns by using a filtering ...volatility model, DCC–GARCH, is employed to filter the fat-tailed ...to fat-tailed ...
24
GARCH Model With Fat-Tailed Distributions and Bitcoin Exchange Rate Returns
... GARCH model with heavy-tailed distributions into this new special asset ...financial asset capabilities of Bitcoin using GARCH models and showed several similarities to gold and the dollar ...
5
Fat-tailed models for risk estimation
... a fat-tailed model that can describe the tail of the empirical distribution and bring up the second aspect of the discussion on estimation errors and non-Gaussian ...models. Fat-tailed ...
25
Models for Heavy tailed Asset Returns
... Heavy-tailed Asset Returns 1 Szymon Borak 2 , Adam Misiorek 3 , and Rafał Weron 4 Abstract: Many of the concepts in theoretical and empirical finance developed over the past decades – including the ...
37
Models for Heavy-tailed Asset Returns
... pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a normal ...as fat tails or heavy ...heavy-tailed model – the ...
38
A Long-Run Risks Model of Asset Pricing with Fat Tails
... Gaussian model can produce ...the model with fat tails generates higher volatility of price-dividend ...same fat-tailed model are ...Gaussian model. In both scenarios, the ...
53
The value of investing in a diversified pool of fat left tailed strategies
... The return profile for the insurance company is, therefore, a stream of positive payments from the premiums received and an occasional large negative move when the insured outcome actually occurs and requires a ...
11
Essays in macroeconomic theory: informational frictions, market microstructure and fat tailed shocks
... 5.6 Concluding comments The present survey reviews the role of imperfect information and learning in models of the yield curve. Models of imperfect information in which agents infer the value of non-stationary ...
189
Fat tailed uncertainty and the learning effect
... De Boelelaan 1087, Amsterdam, The Netherlands, 1081 HV, E-mail: [email protected] Abstract One of the recent findings in the economics of climate change is that emissions control plays a significant role in the reduction ...
15
A Predictive Functional Regression Model for Asset Return
... Basic Model We propose a functional regression model to capture the stability of asset ...stock return and the related financial variables, the two innovations may have a time depend- ent ...
5
Accelerating Invasions and the Asymptotics of Fat-tailed Dispersal
... Regular variation. The theory of regular variation as well as regularly varying densities and their associated tail ad- ditivity properties are powerful tools for analyzing fat- tailed invasions. These and ...
25
Fat Tailed Uncertainty and Learning - A Case Study
... how fat upper tailed uncertainty over the temperature change from a doubling of greenhouse gases (the climate sensitivity), affects economic growth and emissions pol- ...the fat tail diminishes ...
41
An Estimable Dynamic Model of Asset Accumulation and Return Migration
... who return spend the second part of their life in an environment where the wages and prices are lower, they would save more compared to natives and to migrants who do not plan to go ...treat return ...
59
Fat-tailed sheep in Indonesia; an essential resource for smallholders
... of fat-tailed sheep in Indonesia, the dynamics of production systems, production and reproduction performances under farmers’ conditions, and roles of sheep in ...century, fat-tailed sheep ...
8
Chapter 7 Risk, Return, and the Capital Asset Pricing Model
... To determine which portfolio is the best, draw a line from the risk-free rate to each dot in the figure and choose the line with the highest slope. DIF: H REF: 7.3 The Security Market Line and the CAPM 3. The risk-free ...
18
Additive Damages, Fat-Tailed Climate Dynamics, and Uncertain Discounting
... The fat tail of the PDF of overall welfare is the reduced form that con- cerns economic analysis, not the PDF of climate sensitivity per se, which is but one limited illustrative example representing the overall ...
24
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
... tF model significantly outperforms the HJK, CAW, IW-A, EWMA, and the BEKK-t models with respect to one-step ahead density forecasts of the realized covariance ...HJK model appears the most problematic in ...
15
The effect of learning on climate policy under fat-tailed risk
... 2. Model and methods 2.1. The revised DICE model We revise the DICE model to introduce uncertainty and ...DICE model. First, the current model incorporates (deep) ...the model is ...
25