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股票投资组合的 Copula 中心不对称性AI 解读

Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to be essential for market supervision, risk management, and portfolio allocation. I propose a non-parametric test procedure for the hypothesis of copula central symmetry based on the Cramér-von Mises distance of the empirical copula and its…

利用混频动态因子模型即时预测欧洲地区经济活动AI 解读

Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional accounts for output are published at an annual frequency and with a two-year delay. To obtain robust and more timely measures in a computationally efficient manner, we propose a mixed-frequency dynamic factor model that accounts for national information to produce high-frequency estimates of the…