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A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets
https://doi.org/10.24561/00015037
https://doi.org/10.24561/0001503760817dd8-b506-4c33-82eb-b9fd4d8220d6
名前 / ファイル | ライセンス | アクション |
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KY-21868611-04-01.pdf (1.6 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2013-02-12 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | A Non-parametric Method for Approximating Joint Densities and Copula Functions for Financial Markets | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Conditional expectations | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Copulas | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Hermite polynomials | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Orthogonal expansion | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Smoothing methods | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.24561/00015037 | |||||
ID登録タイプ | JaLC | |||||
著者 |
丸茂, 幸平
× 丸茂, 幸平× WOLFF, Rodney |
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著者 ローマ字 | ||||||
en | ||||||
MARUMO, Kohei | ||||||
著者 所属 | ||||||
ja | ||||||
埼玉大学経済学部 | ||||||
著者 所属 | ||||||
en | ||||||
WH Bryan Mining and Geology Research Centre, The University of Queensland Australia | ||||||
著者 所属(別言語) | ||||||
en | ||||||
Faculty of Economics, Saitama University | ||||||
書誌情報 |
en : Working Paper Series 号 4, p. 0-46, 発行日 2013-02 |
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年月次 | ||||||
2013-2 | ||||||
出版者名 | ||||||
言語 | ja | |||||
出版者 | 埼玉大学経済学部 | |||||
出版者名(別言語) | ||||||
言語 | en | |||||
出版者 | Faculty of Economics. Saitama University | |||||
収録物識別子 | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 21868611 | |||||
収録物識別子 | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA12600124 | |||||
概要 | ||||||
内容記述タイプ | Other | |||||
内容記述 | When we measure the market risk of a portfolio with multiple of risk factors, we, sometimes implicitly, deal with the risk factors' joint distribution. However, only a few methods are available to render tractable forms of multivariate distributions for risk aggregation. This paper discusses approximation techniques using the Hermite expansion for marginal and joint density functions. These techniques (or expansion methods) approximate probability density functions by a sum of Hermite polynomials multiplied by the associated weight function. The advantage of the use of expansion methods is that they only require the moments of the target distributions up to some nite degree, assuming they exist. The biggest shortcoming of the expansion methods is their poor approximation quality. This paper introduces techniques to redeem this problem, and considers application to risk aggregation. We also approximate joint density functions and show that expansion methods are applicable to approximating conditional expectations and copula density functions. Numerical examples for bivariate cases show that our approximations can capture characteristics of original observations. Such techniques may facilitate the further investigation of non-linear dependence structures among risk factors in the nancial markets. |
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言語 | en | |||||
版 | ||||||
[出版社版] | ||||||
出版タイプ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
資源タイプ | ||||||
内容記述タイプ | Other | |||||
内容記述 | text | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
作成日 | ||||||
日付 | 2013-02-12 | |||||
日付タイプ | Created | |||||
アイテムID | ||||||
KY-21868611-04-01 |