Sökning: "Variance-Covariance matrix"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Variance-Covariance matrix.

  1. 1. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Tim Andersson-Säll; Johan Lindskog; [2019]
    Nyckelord :Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Sammanfattning : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. LÄS MER

  3. 2. Risk-Based Portfolio Allocation Strategies with a Focus on Sustainable Stocks in Sweden

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pilar Muñoz Ruiz; Frieda-Lotti Pauline Meyer; [2018]
    Nyckelord :Risk Adjusted Performance; Risk-Based Portfolio Allocation Strategies; Sustainable Stocks; Variance Covariance Matrix; Business and Economics;

    Sammanfattning : This paper aims at analyzing the performance of six portfolio weight allocation strategies. The traditional Market Capitalization (CW), the Equal Weight (EW) and the Inverse Volatility Weighting (IVW) are heuristic based techniques and the Minimum Variance (MV), Maximum Diversification (MD) and Risk Efficient Weighting (REW) are risk-based. LÄS MER

  4. 3. Displacement Analysis of a Geodetic Network : A case study of the Vasa warship

    M1-uppsats, Högskolan Väst/Avdelningen för data-, elektro- och lantmäteriteknik

    Författare :Filippa Johansson; Lenita Karlsson; [2017]
    Nyckelord :;

    Sammanfattning : By measuring coordinates repeatedly in time we can detect movements of an area or an object by establishing and monitoring a geodetic network. Since it is known that the Vasa warship is suffering from decomposition, a geodetic network has been established around the ship to monitor its deformation. LÄS MER

  5. 4. Where the rainbow ends...

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Armin Näsholm; Nicklas Norling; [2011]
    Nyckelord :DCC-GARCH; CCC-GARCH; GARCH; Correlation forecasting; Rainbow option; Volatility forecasting; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Purpose: The purpose of this thesis is to evaluate which model for forecasting the variance covariance matrix is the most accurate. This is important because the more accurate forecast the more correct pricing of derivatives with several underlying instruments. LÄS MER

  7. 5. Testing The Black- Litterman Model: Sensitivity of Weight Vector to the Variance of Views

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yuliya Prysyazhnyuk; Saida Ojagverdiyeva; [2011]
    Nyckelord :Black- Litterman model; views; portfolio optimization; variance-covariance matrix ; Business and Economics;

    Sammanfattning : The paper investigates sensitivity of the optimal portfolio obtained from the Black Litterman model to the specification of the inputs. Specifically estimation methods of the variances of the views are employed and the results are analysed. For this purpose the MSCI indices of 14 European countries are experienced. LÄS MER