Sökning: "Kupiec"

Visar resultat 1 - 5 av 29 uppsatser innehållade ordet Kupiec.

  1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

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

    Författare :Khaled Jrideh; [2023-05-26]
    Nyckelord :;

    Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

  3. 2. Det dubbla uppdraget : Fritidshemslärares professionsidentitet

    Uppsats för yrkesexamina på grundnivå, Malmö universitet/Fakulteten för lärande och samhälle (LS)

    Författare :Maya Alkefelt Jansson; Cornelia Kupiec Olofsson; [2023]
    Nyckelord :fritidshemslärare; hybrid professionell identitet; musiklärare; professionsidentitet;

    Sammanfattning : Denna studie bygger på sju djupintervjuer med fritidshemslärare som undervisar eller har undervisat i fritidshem och musik. Studiens syfte är att undersöka hur fritidshemslärare upplever att deras professionsidentitet påverkas av att arbeta i två skilda verksamheter. LÄS MER

  4. 3. Value at Risk estimation : A comparison between different models

    Magister-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Mathias Mattsson; [2021]
    Nyckelord :CAViaR; GARCH; Value at Risk; Backtesting;

    Sammanfattning : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. LÄS MER

  5. 4. GARCH models applied on Swedish Stock Exchange Indices

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Wiktor Blad; Vilim Nedic; [2019]
    Nyckelord :Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Sammanfattning : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. LÄS MER

  7. 5. 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