Sökning: "Heavy tails"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Heavy tails.

  1. 1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Nyckelord :Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Sammanfattning : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. LÄS MER

  3. 2. Wealth Inequality and Mobility - Evidence from the Forbes World Billionaires List

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sebastian Schmidt; [2017]
    Nyckelord :wealth inequality; wealth mobility; Pareto distribution; power law estimation; Business and Economics;

    Sammanfattning : The paper analyses data from the “Forbes World Billionaires List” from 1996 to 2015. Decomposing the sample finds, that inherited wealth exhibits higher levels of inequality than self-made wealth. Overall inequality decreases and the inequality level of the self-made subgroup converges to the one of inherited wealth. LÄS MER

  4. 3. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sara Holmsäter; Emelie Malmberg; [2016]
    Nyckelord :Multivariate Expected Shortfall; Component Expected Shortfall;

    Sammanfattning : 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

  5. 4. Tail Dependence Considerations for Cross-Asset Portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Johanna Trost; [2016]
    Nyckelord :;

    Sammanfattning : 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

  7. 5. On Stochastic Volatility Models as an Alternative to GARCH Type Models

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Oscar Nilsson; [2016]
    Nyckelord :Stochastic Volatility; Heavy tails; GARCH; Markov Chain Monte Carlo;

    Sammanfattning : For the purpose of modelling and prediction of volatility, the family of Stochastic Volatility (SV) models is an alternative to the extensively used ARCH type models. SV models differ in their assumption that volatility itself follows a latent stochastic process. LÄS MER