Sökning: "Askerbi Midov"

Hittade 1 uppsats innehållade orden Askerbi Midov.

  1. 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)

    Författare :Askerbi Midov; Konstantin Balashov; [2008]
    Nyckelord :Risk management; Value-at-Risk;

    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