Sökning: "asmir prepic"

Hittade 2 uppsatser innehållade orden asmir prepic.

1. 1. An Application of A Bayesian Extreme Value Mixture Model to Reinsurance Excess-of-Loss Pricing and Extreme Value Threshold Selection

   Kandidat-uppsats, Uppsala universitet/Tillämpad matematik och statistik

   Författare :Asmir Prepic; [2018]
   Nyckelord :;

   Sammanfattning : .... LÄS MER

3. 2. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Asmir Prepic; Måns Unosson; [2014]
   Nyckelord :;

   Sammanfattning : We use GARCH(1,1), EGARCH and MIDAS regression to forecast weekly and monthly conditional variance of the OMXS30 equity index and USD/SEK exchange rate. Forecasts are compared with realized volatility and accuracy is evaluated using a Quasi-likelihood loss function and Diebold Mariano test. LÄS MER