Sökning: "Copulas"
Visar resultat 26 - 30 av 44 uppsatser innehållade ordet Copulas.
26. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. LÄS MER
27. Imputation of Missing Data with Application to Commodity Futures
Master-uppsats, KTH/Matematisk statistikSammanfattning : In recent years additional requirements have been imposed on financial institutions, including Central Counterparty clearing houses (CCPs), as an attempt to assess quantitative measures of their exposure to different types of risk. One of these requirements results in a need to perform stress tests to check the resilience in case of a stressed market/crisis. LÄS MER
28. On Modelling Extreme Foreign Exchange Volatility Using Copulas
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The price volatility is an important property to monitor in financial trading. A volatile period implies threats of large losses, but at the same time opportunities of higher gains. This makes accurate volatility prediction models an important part of an algorithmic trading system. LÄS MER
29. Wind power and its impact on power prices in Denmark
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Including wind power in the European power system may cause instability in the power market due to the uncontrollable generation capacity. The purpose of this thesis is to investigate the relationship between Danish power prices and wind power produced in Denmark, both in terms of general dependence structure and the extreme dependence. LÄS MER
30. Online processing of syntactic constructions unique to the second language: An eye-movement study of subject–verb agreement with Swedish advanced learners of English
Master-uppsats, Lunds universitet/Masterprogram: Språk och språkvetenskapSammanfattning : It is a hotly debated issue whether second language (L2) learners can achieve target-like online syntactic processing of relations not instantiated in their first language (L1). The Shallow Structure Hypothesis (SSH) predicts that L2 learners will not process configurations with structural distance in a target-like online fashion (Clahsen & Felser, 2006 a,b,c), whereas some studies find that target-like processing is possible (e. LÄS MER