Sökning: "Autoregressive gamma process"

Hittade 3 uppsatser innehållade orden Autoregressive gamma process.

1. 1. A simple model of volatility in financial data - An alternative to GARCH models

   Magister-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Alexandra Milton; Marcus Svensson; [2019]
   Nyckelord :Volatility; Financial time series; Autoregressive gamma process; Generalized Laplace distribution; Autoregressive gamma variance Gaussian mixture model; Mathematics and Statistics;

   Sammanfattning : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. LÄS MER

3. 2. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Oliver Krek; [2018]
   Nyckelord :Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

   Sammanfattning : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. LÄS MER

4. 3. Return Models and Covariance Matrices

   Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

   Författare :Xiaolei Xie; [2014]
   Nyckelord :returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

   Sammanfattning : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. LÄS MER