Sökning: "student´s t distribution"
Visar resultat 1 - 5 av 30 uppsatser innehållade orden student´s t distribution.
1. Volatility Forecasting - A comparative study of different forecasting models.
Kandidat-uppsats,Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER
2. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER
3. DCC-GARCH Estimation
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. LÄS MER
4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. 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