Visar resultat 1 - 5 av 30 uppsatser innehållade ordet Copulas.
- Master-uppsats, Uppsala universitet/Institutionen för lingvistik och filologi
Sammanfattning : In this thesis, I explore the use of copulas in non-copula constructions in the languages of South Asia to establish possible genetic and areal tendencies in the distribution. Using materials – language descriptions and data – from Grierson’s Linguistic Survey of India, I examine the phenomenon in 206 languages from four families (Munda, Dravidian, Indo-Aryan and Sino-Tibetan). LÄS MER
- Master-uppsats, KTH/Matematik (Inst.)
Sammanfattning : Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. LÄS MER
3. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approachD-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. LÄS MER
4. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER
5. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivativesMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. LÄS MER
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