Sökning: "skewed student t-distribution."
Visar resultat 1 - 5 av 7 uppsatser innehållade orden skewed student t-distribution..
1. Copula approach to fitting bivariate time series
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER
2. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). LÄS MER
3. A study incorporating skewness in Expected Shortfall Estimation
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER
4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. LÄS MER
5. Expected Shortfall Estimation
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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