Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

Before we learn how to perform multivariate regression in Excel, it is important to have a refresher on regression as a whole and multivariate regression in particular. One of the hallmarks of human ...

A generalization of Sliced Inverse Regression to functional regressors was introduced by Ferré and Yao (2003). Here we first address the issue of the identifiability of the Effective Dimension ...

This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses ...