Essays about: "Nonparametric estimation methods"

Found 2 essays containing the words Nonparametric estimation methods.

1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Otto Colbin; Yugam Sharma; [2023]
   Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Abstract : 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. READ MORE

3. 2. Online Outlier Detection in Financial Time Series

   University essay from KTH/Matematisk statistik

   Author : Robin Sedman; [2018]
   Keywords : ;

   Abstract : In this Master’s thesis, different models for outlier detection in financial time series are examined. The financial time series are price series such as index prices or asset prices. Outliers are, in this thesis, defined as extreme and false points, but this definition is also investigated and revised. READ MORE