Jone Ascorbebeitia
Biographic Data
| ID | 8921447 |
|---|---|
| NAME | Jone Ascorbebeitia |
| GIVEN NAMES | Jone |
| FAMILY NAME | Ascorbebeitia |
| SIGNATURE | ASCORBEBEITIA J |
| AFFILIATIONS | University of the Basque Country |
| ORCID | 0000-0003-1396-6798 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
Multivariate dependence measures are crucial for risk management, where variables usually have heavy tails and non-Gaussian distributions. We propose a multivariate time varying Kendall’s tau estimator in a nonparametric context, allowing for local stationary variables. Consistency and asymptotic normality of the estimator are provided. A simulation study is conducted which supports the idea of better performance than other related methods in man…
No prominent works on this page.
The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
Multivariate dependence measures are crucial for risk management, where variables usually have heavy tails and non-Gaussian distributions. We propose a multivariate time varying Kendall’s tau estimator in a nonparametric context, allowing for local stationary variables. Consistency and asymptotic normality of the estimator are provided. A simulation study is conducted which supports the idea of better performance than other related methods in man…
Asymptotic distribution (1 work) · Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Economics (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Multivariate statistics (1 work) · Nonparametric statistics (1 work)