Sökning: "Bombay Sensex"

Hittade 2 uppsatser innehållade orden Bombay Sensex.

  1. 1. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Sammanfattning : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. LÄS MER

  3. 2. Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Viktor Augustsson; [2014]
    Nyckelord :MRS-GARCH; Out of Sample Evaluation; DM Test; Bombay Sensex; Standard Poor s 500; Business and Economics;

    Sammanfattning : Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose. This thesis evaluates the forecast accuracy of some specific GARCH-models; GARCH, EGARCH, APGARCH and MRS-GARCH. LÄS MER