Sökning: "Henrik Rundberg"

Hittade 1 uppsats innehållade orden Henrik Rundberg.

  1. 1. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Arvid Nybrant; Henrik Rundberg; [2018]
    Nyckelord :VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Sammanfattning : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. LÄS MER