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Weighted Kolmogorov-Smirnov test: accounting for the tails
Goodness-of-Fit tests Kolmogorov-Smirnov Survival probability Particle in a box
2012/9/14
Accurate Goodness of Fit tests for the extreme tails of empirical distributions is a very im-portant issue, relevant in many contexts, including geophysics, insurance and finance. We have derived exac...
An empirical study of the tails of mutual fund size
empirical study tails mutual fund size
2010/10/20
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the ha...
Computing Tails of Compound Distributions Using Direct Numerical Integration
characteristic function compound distribution truncation error
2010/10/29
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing
high quantiles and conditional Value at Risk (CVaR) of compound distributions using
characteristic funct...
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...
Leverage Causes Fat Tails and Clustered Volatility
systemic risk clustered volatility fat tails crash margin calls leverage
2010/11/2
We build a simple model of leveraged asset purchases with margin calls.Investment funds use what is perhaps the most basic nancial strategy,called \value investing", i.e. systematically attempting to...