Sökning: "Student s t-distribution"

Visar resultat 6 - 10 av 30 uppsatser innehållade orden Student s t-distribution.

  1. 6. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Sammanfattning : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. LÄS MER

  3. 7. GARCH models applied on Swedish Stock Exchange Indices

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Wiktor Blad; Vilim Nedic; [2019]
    Nyckelord :Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Sammanfattning : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. LÄS MER

  4. 8. Univariate GARCH models with realized variance

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Carl Börjesson; Ossian Löhnn; [2019]
    Nyckelord :GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Sammanfattning : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. LÄS MER

  5. 9. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. LÄS MER

  7. 10. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Emil Eliasson; Linus Hamlin; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. LÄS MER