Sökning: "Two-sided Kupiec test"

Hittade 1 uppsats innehållade orden Two-sided Kupiec test.

  1. 1. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Euan Anderson; [2015]
    Nyckelord :Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

    Sammanfattning : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. LÄS MER