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Full-Text Articles in Physical Sciences and Mathematics
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Business Faculty Publications
We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …
Toward Using High-Frequency Coastal Radars For Calibration Of S-Ais Based Ocean Vessel Tracking Models, Ben Freidrich
Toward Using High-Frequency Coastal Radars For Calibration Of S-Ais Based Ocean Vessel Tracking Models, Ben Freidrich
Theses and Dissertations (Comprehensive)
Most of the world relies on ships for transportation, shipping, and tourism. Automatic Identification System messages are transmitted from ships and provide a wealth of positional data on these open ocean vessels. This data is being utilized to determine the optimal path for ships, as well as predicting where a ship may be going in the near future. It has only been in the past decade that Automatic Identification Systems (AIS) signals have been easily received with satellites (S-AIS) so there have been few studies that look at using available information and pairing it with the new abundance of ship …