References of "Schiltz, Jang 50003012"
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See detailInvestment fund performance validation - Vine copulae estimation using a minimum spanning tree
Petijean, Simon; Schiltz, Jang UL

Scientific Conference (2019, June 03)

Catching the dependencies between financial time series is a complex exer- cise with a lot of challenges, both of theoretical and practical nature. We develop a metho- dology to model portfolio dynamics ... [more ▼]

Catching the dependencies between financial time series is a complex exer- cise with a lot of challenges, both of theoretical and practical nature. We develop a metho- dology to model portfolio dynamics using the minimum spanning tree methods combined with econometric models which solves a good part of these challenges. We use a tracking error that is equivalent to the Euclidean distance, to cluster the closest market indices. Financial risk is difficult to manage, because risk is evolving constantly and depends on very different factors like volatility, liquidity, asset class etc. To capture this evolution we develop a recursive portfolio validation method that reveals the true nature of the evolution of the risk structure of financial portfolios. We investigate several portfolio strategies to understand the dynamics behind the holdings. We thus validate the results of our portfolio analysis. We use a vine copula construction, which allows us to separate the marginal estimation from the dependence estimation and calibrate the underlying dynamics very precisely. The minimum spanning tree method helps us to create a robust tree foundation to support the entire vine structure. Starting from a portfolio analysis, we are thus able to validate the portfolio valuation over a specific period of time. [less ▲]

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See detailA performance evaluation of weight-constrained conditioned portfolio optimization
Schiltz, Jang UL; Boissaux, Marc UL

Scientific Conference (2017, May 25)

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See detailPortfolio Optimisation with Conditioning Information
Schiltz, Jang UL

Scientific Conference (2017, April 04)

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See detailCALCURIX: a "tailor-made" RM software
Schiltz, Jang UL; Fadiga, Isamel

Presentation (2017, March 15)

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See detailA performance evaluation of weight-constrained conditioned portfolio optimization
Schiltz, Jang UL; Boissaux, Marc

Scientific Conference (2016, December 15)

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See detailStable distributions for alternative UCITS
Fadiga, Ismael; Schiltz, Jang UL

Scientific Conference (2016, July 16)

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See detailAsset Pricing Models with Underlying Time-varying Lévy Processes
Cui, Xuecan UL; Schiltz, Jang UL

Scientific Conference (2016, July 15)

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See detailModel selection in generalized finite mixture models
Schiltz, Jang UL

Scientific Conference (2016, July 11)

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See detailOn strategically equivalent contests
Schiltz, Jang UL; Guigou, Jean-Daniel UL; Lovat, Bruno

Scientific Conference (2016, June 02)

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See detailBorderline functioning and life trauma: a structural approach
Schiltz, Jang UL; Schiltz, Lony

in Archives of Psychiatry and Psychotherapy (2016), 2(2016), 12-21

Aim: The general aim of this multiannual research project was the exploration of the links between traumatizing life events and current functioning. Material and methods: The research project was based on ... [more ▼]

Aim: The general aim of this multiannual research project was the exploration of the links between traumatizing life events and current functioning. Material and methods: The research project was based on a sequential design. It included an exploratory study with 206 persons experiencing exclusion and marginalization, followed by a confirmatory study with 195 persons. We present the confirmatory study results, as well as a meta-analysis of both studies. Both studies were based on an integrated quantitative and qualitative research methodology, combining a semi-structured biographical interview, psychometric scales (Hospital Anxiety and Depression Scale (HADS), Index of Well- Being) and a projective test (Rotter Incomplete Sentences Blank). We developed original rating scales for the semi-structured interview and the answers to the Rotter test, allowing a step from qualitative analysis to inferential and multidimensional statistics. Results: With the help of appropriate multidimensional statistical procedures applied to the semi-structured interview (linear principal components analysis) and the Rotter test (multiple correspondence analysis), we were able to draw out differential types of personality functioning based on the prevalent defense mechanisms and coping strategies, linked either to a succession of traumatic events, such as neglect, maltreatment and multiple losses occurring since childhood, or to recent catastrophes. The comparative study of the answers to the Rotter test in the first and third person pointed to differences in the expression of conscious and unconscious needs. Configural frequency analysis applied to HADS identified specific types that could correspond to variants of borderline functioning. The meta-analysis of the exploratory and confirmatory findings showed convergent results at several fundamental dimensions. Our results supported the traumatogenic hypothesis of borderline functioning and pointed towards a partial overlapping of the concepts of splitting and dissociation. Conclusions: More long-term evaluation studies of appropriate psychotherapeutic measures are needed. From the methodological point of view, the most appropriate strategy might be a mixed-methods design combining data from different sources (semi-structured interviews, psychometric scales, projective tests, etc.) and respecting the person-centered approach. This approach combines objectivity with subjectivity in an optimal manner. [less ▲]

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See detailA generalization of Nagin's finite mixture model
Schiltz, Jang UL

in Stemmler, Mark; von Eye, Alex; Wiedermann, Wolfgang (Eds.) Dependent data in social sciences research: Forms, issues, and methods of analysis (2015)

We present a generalization of Daniel Nagin’s finite mixture model that allows non parallel trajectories for different values of covariates. We investigate some mathematical properties of this model and ... [more ▼]

We present a generalization of Daniel Nagin’s finite mixture model that allows non parallel trajectories for different values of covariates. We investigate some mathematical properties of this model and illustrate its use by giving typical salary curves for the employees in the private sector in Luxembourg between 1981 and 2006, as a function of their gender, as well as of Luxembourg’s gross domestic product (GDP). [less ▲]

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See detailA generalized finite mixture model
Schiltz, Jang UL

in Proceedings of the 60th ISI World conference (2015, July 28)

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See detailA performance evaluation of weight-constrained conditioned portfolio optimization
Schiltz, Jang UL; Boissaux, Marc

Scientific Conference (2015, July 22)

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See detailAsset Pricing Models with Underlying Time-varying Lévy Processes
Cui, Xuecan UL; Schiltz, Jang UL

Scientific Conference (2015, July 09)

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See detailOn some issues in trajectory modeling with finite mixture models
Schiltz, Jang UL; Guigou, Jean-Daniel UL; Lovat, Bruno

in Skiadas, Christos; Manca, Raimondo; McClean, Sally (Eds.) et al 16th ASMDA 2015 Conference and Demographics 2015 Proceedings (2015, June 30)

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See detailThe Phenomenology of Stock Market Volatility in Times of Crisis. The Case of Emerging Europe
Diaconasu, Delia; Schiltz, Jang UL

Scientific Conference (2015, June 16)

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See detailOptimal mix of funded and unfunded pension systems: The case of Luxembourg
Schiltz, Jang UL; Guigou, Jean-Daniel UL; Lovat, Bruno

Scientific Conference (2014, June 20)

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