Sökning: "Askerbi Midov"
Hittade 1 uppsats innehållade orden Askerbi Midov.
1. Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution
Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Sammanfattning : The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. LÄS MER
Resultatsidor:
1