Sökning: "Fat-tails"

Visar resultat 1 - 5 av 7 uppsatser innehållade ordet Fat-tails.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  3. 2. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : 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

  4. 3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christian Vogl; [2016]
    Nyckelord :GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Sammanfattning : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. LÄS MER

  5. 4. Portfolio Optimization : Approaches to determining VaR and CVaR

    Kandidat-uppsats, KTH/Optimeringslära och systemteori

    Författare :Parik Bergman; Viktor Sonebäck; [2015]
    Nyckelord :;

    Sammanfattning : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. LÄS MER

  7. 5. Black Swan Investing: An empirical study in context of efficient markets

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Aleksis Tastsidis Olsson; Pontus Löfberg; [2014]
    Nyckelord :Black Swans; Efficient market hypothesis; Fat-tails; Kelly criterion; Outliers; Trading strategy; Unknown unknowns; Business and Economics;

    Sammanfattning : Purpose: The purpose of this paper is to assess the sustainability of the efficient market theorem when accounting for extreme events, which are of the essence in a Black Swan investment philosophy. Methodology: Quantitative approach. LÄS MER