Sökning: "multivariate GARCH"

Visar resultat 1 - 5 av 30 uppsatser innehållade orden multivariate GARCH.

  1. 1. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; [2022]
    Nyckelord :Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

    Sammanfattning : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. LÄS MER

  3. 2. DCC-GARCH Estimation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Christofer Nordström; [2021]
    Nyckelord :Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    Sammanfattning : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. LÄS MER

  4. 3. Considering Tail Events in Hedge Fund Portfolio Optimization

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Josefin Bladh; Holm Greta; [2021]
    Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

  5. 4. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mohammad Rashidi Ranjbar; [2020-07-08]
    Nyckelord :Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Sammanfattning : Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. LÄS MER

  7. 5. Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Tung Bui Ba; Javier Jo; [2020]
    Nyckelord :Responsible Investment; Sustainable Bonds; Swedish Market; Modern Portfolio Theory; Diversification; Volatility; Correlation; Hedging;

    Sammanfattning : Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. LÄS MER