Sökning: "Copulas"
Visar resultat 21 - 25 av 44 uppsatser innehållade ordet Copulas.
21. Copula selection and parameter estimation in market risk models
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. LÄS MER
22. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER
23. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. LÄS MER
24. Tail Dependence Considerations for Cross-Asset Portfolios
Master-uppsats, KTH/Matematisk statistikSammanfattning : Extreme events, heaviness of log return distribution tails and bivariate asymptotic dependence are important aspects of cross-asset tail risk hedging and diversification. These are in this thesis investigated with the help of threshold copulas, scalar tail dependence measures and bivariate Value-at-Risk. LÄS MER
25. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. LÄS MER