arXiv subjects

Christis Katsouris

Publications and source records attributed to Christis Katsouris.

22 records · Page 2Linked to original sources

arXiv2021

Sequential Break-Point Detection in Stationary Time Series: An Application to Monitoring Economic Indicators

Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point detectors for stationary time series regression models with extensive simulation experiments. We employ an online sequential scheme for monitoring economic indicators from the European as well as the American financial markets that span the period during the 2008 financial crisis. Our results show that the performance of these tests applied to stationary time series regressions such as the AR(1) as well as the AR(1)-GARCH(1,1) depend on the severity of the break as well as the location of the break-point within the out-of-sample period. Consequently, our study provides some useful insights to practitioners for sequential break-point detection in economic and financial conditions.

stat.AP↗

arXiv2021

Forecast Evaluation in Large Cross-Sections of Realized Volatility

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using equal predictive accuracy testing procedures. We evaluate the predictive accuracy of the model based on the augmented cross-section when forecasting Realized Volatility. Under the null hypothesis of equal predictive accuracy the benchmark model employed is a standard HAR model while under the alternative of non-equal predictive accuracy the forecast model is an augmented HAR model estimated via the LASSO shrinkage. We study the sensitivity of forecasts to the model specification by incorporating a measurement error correction as well as cross-sectional jump component measures. The out-of-sample forecast evaluation of the models is assessed with numerical implementations.

stat.ML↗

arXiv2021

Optimal Portfolio Choice and Stock Centrality for Tail Risk Events

We propose a novel risk matrix to characterize the optimal portfolio choice of an investor with tail concerns. The diagonal of the matrix contains the Value-at-Risk of each asset in the portfolio and the off-diagonal the pairwise Delta-CoVaR measures reflecting tail connections between assets. First, we derive the conditions under which the associated quadratic risk function has a closed-form solution. Second, we examine the relationship between portfolio risk and eigenvector centrality. Third, we show that portfolio risk is not necessarily increasing with respect to stock centrality. Forth, we demonstrate under certain conditions that asset centrality increases the optimal weight allocation of the asset to the portfolio. Overall, our empirical study indicates that a network topology which exhibits low connectivity is outperformed by high connectivity based on a Sharpe ratio test.

q-fin.PM↗

arXiv2021

Treatment effect validation via a permutation test in Stata

In this paper we describe the testing procedure for assessing the statistical significance of treatment effect under the experimental conditions of baseline imbalance across covariates and attrition from the survey, using the permutation tests proposed by Freedman and Lane (1983) and Romano and Wolf (2016). We discuss the testing procedure for these hypotheses based on a linear regression model and introduce the new Stata command [R] permtest for the implementation of the permutation test in Stata. Moreover, we investigate the finite-sample performance as well as the statistical validity of the test with a Monte Carlo simulation study in which we examine the empirical size and power properties under the conditions of baseline imbalance and attrition for a fixed number of permutation steps.

stat.ME↗