Essays about: "Kurtosis Parameter"

Found 3 essays containing the words Kurtosis Parameter.

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

    University essay from Lunds universitet/Statistiska institutionen

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

    Abstract : 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. READ MORE

  3. 2. Microcalcification Detection in Mammography using Wavelet Transform and Statistical Parameters

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Eliza Hashemi Aghjekandi; [2012-03-15]
    Keywords : Microcalcifications in Mammography; Wavelets Transforms; Skewness; Kurtosis Parameter;

    Abstract : The earliest sign of breast cancer is the existence of microcalcifications which are tiny calcium clusters in breast tissues detected in mammographies. Early detection and diagnosis of microcalcifications is the main step to improve prognosis of breast cancer, which is one of the most frequently serious disease among women. READ MORE

  4. 3. Nothing is normal in nance! : On Tail Correlations and Robust Higher Order Moments in Normal Portfolio Frameworks

    University essay from KTH/Matematik (Inst.)

    Author : Jan Martinsson Engshagen; [2012]
    Keywords : Correlation Matrix; Tail Correlations; Skewness; Robust Skewness;

    Abstract : Abstract This thesis project is divided in two parts. The first part examines the possibility that correlation matrix estimates based on an outlier sample would contain information about extreme events. According to my findings, such methods do not perform better than simple shrinkage methods where robust shrinkage targets are used. READ MORE