Estimating asymmetric dynamic distributions in high dimensions

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Estimating asymmetric dynamic distributions in high dimensions

Popis výsledku v původním jazyce

We consider estimation of dynamic joint distributions of large groups of assets. Conventional likelihood functions based on ‘off‐the‐shelf’ distributions quickly become inaccurate as the number of parameters grows. Alternatives based on a fixed number of parameters do not permit sufficient flexibility in modelling asymmetry and dependence. This chapter considers a sequential procedure, where the joint patterns of asymmetry and dependence are unrestricted, yet the method does not suffer from the curse of dimensionality encountered in non‐parametric estimation. We construct a flexible multivariate distribution using tightly parameterized lower‐dimensional distributions coupled by a bivariate copula. This effectively replaces a high‐dimensional parameter space with many simple estimations with few parameters. We provide theoretical motivation for this estimator as a pseudo‐MLE with known asymptotic properties. In an asymmetric GARCH‐type application with regional stock indexes, the procedure provides excellent fit when dimensionality is moderate, and remains operational when the conventional method fails.

Název v anglickém jazyce

Estimating asymmetric dynamic distributions in high dimensions

Popis výsledku anglicky

We consider estimation of dynamic joint distributions of large groups of assets. Conventional likelihood functions based on ‘off‐the‐shelf’ distributions quickly become inaccurate as the number of parameters grows. Alternatives based on a fixed number of parameters do not permit sufficient flexibility in modelling asymmetry and dependence. This chapter considers a sequential procedure, where the joint patterns of asymmetry and dependence are unrestricted, yet the method does not suffer from the curse of dimensionality encountered in non‐parametric estimation. We construct a flexible multivariate distribution using tightly parameterized lower‐dimensional distributions coupled by a bivariate copula. This effectively replaces a high‐dimensional parameter space with many simple estimations with few parameters. We provide theoretical motivation for this estimator as a pseudo‐MLE with known asymptotic properties. In an asymmetric GARCH‐type application with regional stock indexes, the procedure provides excellent fit when dimensionality is moderate, and remains operational when the conventional method fails.

Druh

C - Kapitola v odborné knize

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Asymmetric dependence in finance: diversification, correlation and portfolio management in market downturns

ISBN

9781119289012

Počet stran výsledku

52

Strana od-do

169-220

Počet stran knihy

296

Název nakladatele

Wiley

Místo vydání

Chichester

Kód UT WoS kapitoly

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