Sökning: "Student-t distribution"
Visar resultat 1 - 5 av 29 uppsatser innehållade orden Student-t distribution.
1. Copula approach to fitting bivariate time series
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER
2. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?
Kandidat-uppsats, Stockholms universitet/Statistiska institutionenSammanfattning : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. LÄS MER
3. A study incorporating skewness in Expected Shortfall Estimation
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER
4. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. LÄS MER
5. Geometry dependency of cerebral arterial pressure, and estimation of wall shear stress in patients with carotid stenosis: a CFD approach
Master-uppsats, Umeå universitet/Institutionen för fysikSammanfattning : This thesis have investigated how the cerebral arterial pressure can be estimated using computational fluid dynamics (CFD). Specifically, a sensitivity study of how the blood vessel diameter affects the arterial pressure in patients with carotid stenosis, has been conducted. LÄS MER