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Visar resultat 21 - 25 av 50 uppsatser som matchar ovanstående sökkriterier.

1. 21. Forecast Precision of Value at Risk: An Evaluation of ARCH-Type Models

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Jacob Lindberg; Alexander Matsson; [2016]
   Nyckelord :value at risk; volatility modelling; GARCH models; backtesting; asymmetric effects;

   Sammanfattning : Over the recent years, value at risk has become an industry standard for measuring downside market risk. This thesis aims to give a thorough differentiation between the different types of models used to estimate value at risk. LÄS MER

3. 22. Volatility and Contagion Effect from US and GIIPS to the Largest European Economies

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Nerea Landa Vallejo; [2016]
   Nyckelord :contagion; GIIPS; subprime; eurozone; spillover; Business and Economics;

   Sammanfattning : This research paper explores the nature of the mean and volatility spillovers from the US and aggregate GIIPS to the largest GDP countries for the EMU and non-EMU countries. I develop a three step univariate volatility spillover model followed by Christiansen (2007) and Ng (2000) to analyze the relevance of local (own country), regional (aggregate GIIPS) and global (US) shocks. LÄS MER

4. 23. Managing the extremes : An application of extreme value theory to financial risk management

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Zakris Strömqvist; Jesper Petersen; [2016]
   Nyckelord :Financial econometrics; Extreme Value Theory; Value-at-Risk; Volatility models; Risk management;

   Sammanfattning : We compare the traditional GARCH models with a semiparametric approach based on extreme value theory and find that the semiparametric approach yields more accurate predictions of Value-at-Risk (VaR). Using traditional parametric approaches based on GARCH and EGARCH to model the conditional volatility, we calculate univariate one-day ahead predictions of Value-at-Risk (VaR) under varying distributional assumptions. LÄS MER

5. 24. Modeling exchange rate using symmetric and asymmetric GARCH models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Malwina Maria Polak; Marcelina Polak; [2016]
   Nyckelord :;

   Sammanfattning : This paper attempts to study GARCH-type models, with emphasis on fitting GARCH models to exchange rate return series. The symmetric GARCH(1,1) model is compared with the asymmetric EGARCH(1,1) model. Both models are analysed with different conditional distributions, namely Normal, Student's t and skew Student's t for the return innovation. LÄS MER

7. 25. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jens Norell; Eric Dove; [2016]
   Nyckelord :Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

   Sammanfattning : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. LÄS MER