Essays about: "Ludvig Hjalmarsson"

Found 1 essay containing the words Ludvig Hjalmarsson.

  1. 1. A Regime Switching Model - Applied to the OMXS30 and Nikkei 225 indices

    University essay from Göteborgs universitet/Graduate School

    Author : Ludvig Hjalmarsson; [2014-07-23]
    Keywords : ;

    Abstract : This Master of Science thesis investigates the performance of a Simple Regime Switching Model compared to the GARCH(1,1) model and rolling window approach. We also investigate how these models estimate the Value at Risk and the modified Value at Risk. The underlying distributions that we use are normal distribution and Student’s t-distribution. READ MORE