Sökning: "Florin George Dragu"
Hittade 2 uppsatser innehållade orden Florin George Dragu.
1. The performance of time-varying volatility and regime switching models in estimating Value-at-RiskMaster-uppsats, Lunds universitet/Företagsekonomiska institutionen
Sammanfattning : Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity due to their ability to account for shifts volatility regimes that tend to characterize returns series. Previous empirical studies have shown that this capacity to capture the volatility dynamics leads to a superior forecasting power of the MRS models. LÄS MER
2. Market Risk Management: The Applicability and Accuracy of Value-at-Risk Models in Financial InstitutionsMagister-uppsats, Lunds universitet/Företagsekonomiska institutionen
Sammanfattning : 2 Abstract The paper focuses on evaluating the most performant Value-at-Risk models from the perspective of financial institutions. A number of 18 VaR methodologies were used for this purpose, comprising of parametric and non-parametric methods, some of which include time-varying volatilities estimated by means of GARCH and asymmetric GARCH models. LÄS MER