WorldCat Identities

Fortiana, Josep

Overview
Works: 37 works in 64 publications in 3 languages and 253 library holdings
Genres: Conference papers and proceedings 
Roles: Editor, Author, Collector, Contributor
Classifications: QA273.6, 519.24
Publication Timeline
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Most widely held works by Josep Fortiana
Distributions with given marginals and statistical modelling by C. M Cuadras( Book )

11 editions published between 2002 and 2013 in English and held by 182 WorldCat member libraries worldwide

This volume contains the papers presented at the meeting "Distributions with given marginals and statistical modelling", held in Barcelona (Spain), July 17- 20, 2000. This is the fourth meeting on given marginals, showing that this topic has aremarkable interest. BRIEF HISTORY The construction of distributions with given marginals started with the seminal papers by Hoeffding (1940) and Fn!chet (1951). Since then, many others have contributed on this topic: Dall' Aglio, Farlie, Gumbel, Johnson, Kellerer, Kotz, Morgenstern, Marshali, Olkin, Strassen, Vitale, Whitt, etc., as weIl as Arnold, Cambanis, Deheuvels, Genest, Frank, Joe, Kirneldorf, Nelsen, Rüschendorf, Sampson, Scarsini, Tiit, etc. In 1957 Sklar and Schweizer introduced probabilistic metric spaces. In 1975 Kirneldorf and Sampson studied the uniform representation of a bivariate dis tribution and proposed the desirable conditions that should be satisfied by any bivariate family. In 1991 Darsow, Nguyen and Olsen defined a natural operation between cop ulas, with applications in stochastic processes. In 1993, AIsina, Nelsen and Schweizer introduced the notion of quasi-copula
Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm by Josep Maria Puigvert Guitiérrez( Book )

4 editions published in 2008 in English and held by 16 WorldCat member libraries worldwide

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into account the daily behaviour of the market; each of these series is an element of a cluster that represents a different segment of the market. We set up a framework of possible algorithm parameter combinations that detect most of the outliers by market segment. In addition, the algorithm parameters that have been found can also be used to detect outliers in other series with similar economic behaviour in the same cluster. Moreover, the crosschecking of the behaviour of different series within each cluster reduces the possibility of observations being misclassified as outliers
Estadística by Josep Fortiana( Book )

2 editions published in 1999 in Catalan and held by 6 WorldCat member libraries worldwide

Análisis multivariante aplicado a la selección de factores de riesgo en la tarificación by Eva Boj del Val( Book )

4 editions published between 2003 and 2004 in Spanish and held by 4 WorldCat member libraries worldwide

Enfoque basado en distancias de algunos métodos estadísticos multivariantes by Josep Fortiana( Book )

4 editions published between 1992 and 2009 in Spanish and Catalan and held by 4 WorldCat member libraries worldwide

Development of statistical methodology to study the incidence of drug use by Albert Sánchez Niubò( )

2 editions published between 2013 and 2014 in English and held by 2 WorldCat member libraries worldwide

Bondad de ajuste basada en la descomposición de la correlación máxima by Aurea Grané Chávez( Book )

2 editions published in 1999 in Spanish and held by 2 WorldCat member libraries worldwide

A multi-state model to estimate incidence of heroin use by Albert Sánchez-Niubò( )

1 edition published in 2013 in English and held by 2 WorldCat member libraries worldwide

3-month Euribor expectations and uncertainty using option-implied probability densities by Josep Maria Puigvert Gutiérrez( Book )

2 editions published between 2015 and 2016 in English and held by 2 WorldCat member libraries worldwide

The evolution of market interest rates is a key component of the trans-mission of monetary policy. Central Banks, market participants and monetary policy practitioners make use of the information contained in financial prices to better understand market interest rates develop-ments. Such a comprehensive and quantitative assessment might also be derived from option-implied probability density functions (PDFs), and in particular when applied to Euribor options, which constitute a natural complement to the existing financial market indicators. A number of methods for constructing these option-implied PDFs have already been developed in the literature. In general, although these methods might differ in the extremes of the tails of the distribution, there is no major difference in the central section of the estimated option-implied PDFs. And, arguably it is the central section of the option-implied PDFs which is more likely to be useful for monetary policy purposes, in contrast to financial stability analysis, where there may be greater focus on the tails of the distribution. In particular, such option-implied PDFs have not been studied in detail during periods of financial crisis, where arguably they may be the most useful. In general, the methods that have been used to construct and estimate implied densities are "risk-neutral". Hence, they are indifferent regarding the investor behaviour and do not include a risk premium component. Some authors have already extended these methods to create "real-world" option-implied PDFs which incorporate the investor behaviour and take into account the risk premium component. However, there is very little research analysing and comparing the differences between these two densities in the Euribor market and, in particular, around episodes of crisis or monetary policy decisions. By using anon-parametric technique, based on the Bliss and Panigirzoglou methodology, this thesis presents an analysis of PDFs for Euribor outturns in three months' time, using "risk-neutral" and "real-world" option-implied PDFs. This type of analysis allows us to reveal typical market reactions which could be potentially used by central banks as a complement to the already existing tools that allow them to take monetary policy decisions. * A quantitative mirror on the Euribor market using implied probability density functions. Puigvert-Gutiérrez J., de Vincent- Humphreys R. Eurasian Economic Review 2(1), 1-31, Spring 2012. * Interest rate expectations and uncertainty during ECB Go- verning Council days: Evidence from intraday implied den- sities of 3-month Euribor. Vergote O., Puigvert-Gutiérrez J. Journal of Banking and Finance 36 (2012) 2804-2823. * Interest rate forecasts, state price densities and risk premium from Euribor options. Ivanova V., Puigvert-Gutiérrez J. Journal of Banking and Finance 48 (2014) 210-223. The first two articles above have been also published in the ECB Working Paper Series and were additionally peer-reviewed by two anonymous referees
Herramientas estadísticas para el estudio de perfiles de riesgo by Eva Boj del Val( Book )

2 editions published in 2002 in Spanish and held by 2 WorldCat member libraries worldwide

Modelos basados en distancias con aplicación a la gestión del riesgo en el ámbito actuarial by Teresa Costa Cor( Book )

2 editions published in 2015 in Spanish and held by 2 WorldCat member libraries worldwide

El trabajo se centra en el estudio de metodologías estadísticas para la solución de problemas reales de las carteras de seguros no vida. Se describe a nivel teórico el Modelo Lineal Generalizado, que ya se aplica en la literatura actuarial en tarificación, credit scoring y cálculo de provisiones. Se describen teóricamente los modelos de regresión basados en distancias y se propone el Modelo Lineal Generalizado Basado en Distancias como una metodología alternativa para dar solución a los problemas expuestos. Para la obtención de resultados numéricos utilizando datos de carteras de seguros no vida se hace uso del software R y cabe destacar la librería dbstats, en la que se han implementado los modelos de regresión basados en distancias. Se definen coeficientes de influencia locales para el Modelo Lineal Generalizado Basado en Distancias que permiten medir la importancia relativa de cada variable observada en la siniestralidad esperada. Se definen coeficientes de influencia para predictores cuantitativos y para predictores cualitativos o binarios. Se construyen intervalos de confianza para los coeficientes de influencia basados en el percentil de la distribución bootstrap a partir de una adaptación del test de Wald. Se incluye una aplicación práctica con datos de seguro a terceros de automóviles de Suecia en el problema de tarificación para calcular los coeficientes de influencia y construir intervalos de confianza para contrastar su significación. Se estudia la aplicación del modelo de regresión logística basado en distancias en credit scoring para estimar las probabilidades de insolvencia de los nuevos clientes que soliciten un crédito. Para elegir el modelo de credit scoring se consideran dos criterios: las probabilidades de mala clasificación de los individuos y el coste de error. El objetivo es minimizar la probabilidad de mala clasificación de los nuevos individuos para evitar conceder un crédito a un mal riesgo de crédito o denegarlo a un buen riesgo de crédito y analizar los costes de dicha clasificación incorrecta. Se proponen distintas maneras de elegir el punto de corte adecuado para unos datos en el modelo de regresión logística basado en distancias. Se realiza una aplicación con datos de riesgo de crédito de una entidad financiera australiana y de una entidad financiera alemana y se comparan los resultados obtenidos con otras metodologías de credit scoring que han sido propuestas por diversos autores en el problema de riesgo de crédito. Se describen los principales métodos de cálculo de la provisión de siniestros pendientes en los seguros no vida, tanto deterministas como estocásticos. Se propone la aplicación del Modelo Lineal Generalizado Basado en Distancias para estimar los pagos futuros que deberá realizar la entidad aseguradora. Se deduce la formulación relativa al error de predicción cometido en los pagos futuros por años de calendario a partir de una expresión analítica y a partir de bootstrap. Por último, se definen diferentes formas de incluir márgenes de riesgo en el cálculo de provisiones teniendo en cuenta el contexto de la Directiva Europea Solvencia II. Se utilizan unos datos de importes de siniestros pagados durante diez años que han sido usados por diversos autores en sus aplicaciones prácticas dentro de la literatura actuarial y se estiman los pagos futuros que sirven de base para calcular la provisión incluyendo márgenes de riesgo con sentido estadístico
Continuous extensions of matrix formulations in correspondence analysis, with applications to the FGM family of distributions by C. M Cuadras( )

2 editions published in 2000 in Undetermined and English and held by 2 WorldCat member libraries worldwide

Multicua : paquete no standard de análisis multivariante : versión 0.77 by Concepción Arenas Solà( Book )

2 editions published between 1993 and 1997 in Spanish and held by 2 WorldCat member libraries worldwide

Global and local distance-based generalized linear models by Eva Boj del Val( )

1 edition published in 2015 in English and held by 2 WorldCat member libraries worldwide

Utilización de un gestor genérico de eventos desde Open Wonderland 0.5 by David Pérez Bris( )

1 edition published in 2011 in Spanish and held by 1 WorldCat member library worldwide

The use of distance-based regression and generalized linear models in the rate making process : am empirical study by Eva Boj del Val( Book )

1 edition published in 2002 in English and held by 1 WorldCat member library worldwide

Anàlisi de dades multivariants by C. M Cuadras( )

1 edition published in 1998 in Spanish and held by 1 WorldCat member library worldwide

Visualizing categorical data with related metric scaling by C. M Cuadras( )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Goodness-of-fit tests based on maximum correlations and their orthogonal decompositions by Josep Fortiana( )

1 edition published in 2003 in English and held by 1 WorldCat member library worldwide

Weighted continuos metric scaling by C. M Cuadras( )

1 edition published in 1996 in English and held by 1 WorldCat member library worldwide

 
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Distributions with given marginals and statistical modelling
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Alternative Names
Fortiana Gregori J.

Fortiana Gregori, José

Fortiana-Gregori, Josep

Fortiana, J.

Fortiana, J. (Fortiana Gregori)

Fortiana, Josep

Gregori, Josep Fortiana

Languages
English (26)

Spanish (17)

Catalan (3)