Sökning: "Forecasting and risk measures"
Visar resultat 1 - 5 av 21 uppsatser innehållade orden Forecasting and risk measures.
1. Klimatförbättrad betong vid lägre temperaturer
Uppsats för yrkesexamina på grundnivå, Umeå universitet/Institutionen för tillämpad fysik och elektronikSammanfattning : Concrete, which is one of the world's most used due to its properties such as strength, durability, malleability, etc., has a negative characteristic, which is its climate impact, or rather it is concrete's most important component, cement, which has a negative climate impact during its manufacturing process. LÄS MER
2. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER
3. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. LÄS MER
4. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. LÄS MER
5. Volatility Forecasting Performance : An evaluation of GARCH-class models
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. LÄS MER
