Sökning: "fat tails"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden fat tails.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  3. 2. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. LÄS MER

  4. 3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christian Vogl; [2016]
    Nyckelord :GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Sammanfattning : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. LÄS MER

  5. 4. Lipid Bilayers on Planes and in Micropipettes - Two model systems to study binding of DivIVA to flat and negatively curved membranes

    Master-uppsats, Lunds universitet/Fysikalisk kemi; Lunds universitet/Fysiska institutionen

    Författare :Elisabeth Baumann; [2016]
    Nyckelord :supported lipid bilayer; DivIVA; curvature; TIRF; FRAP; epifluorescence microscopy; micropipette; model system; Physics and Astronomy;

    Sammanfattning : The aim of this thesis work was to form and characterize model systems of cell membranes on planar supports and in micropipettes. Firstly, supported lipid bilayers (SLBs) were formed on glass slides after an existing experimental procedure. LÄS MER

  7. 5. Portfolio Optimization : Approaches to determining VaR and CVaR

    Kandidat-uppsats, KTH/Optimeringslära och systemteori

    Författare :Parik Bergman; Viktor Sonebäck; [2015]
    Nyckelord :;

    Sammanfattning : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. LÄS MER