Sökning: "Philip Hermanson"
Hittade 1 uppsats innehållade orden Philip Hermanson.
1. Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance
Master-uppsats, KTH/Matematisk statistikSammanfattning : The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. LÄS MER
Resultatsidor:
1