Essays about: "copula"

Showing result 6 - 10 of 70 essays containing the word copula.

  1. 6. Towards a Stochastic Operation of Switzerland’s Power Grid

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Alban Maury; [2023]
    Keywords : Monte-Carlo simulations; probabilistic forecasting; copula theory; power flow analysis; Monte Carlo-simuleringar; probabilistiska prognoser; kopulateori; analys av energiflöden;

    Abstract : As Europe’s power production becomes increasingly reliant on intermittent renewable energy sources, uncertainties are likely to arise in power generation plans. Similarly, with the growing prevalence of electric vehicles, electric demand is also becoming more uncertain. READ MORE

  3. 7. On indirectivity in Azeri : A discourse-analytical study of the functions of {-mỊš}/{-(y)ỊB-DỊ(r)} and {Ị-mỊš} in South Azeri varieties

    University essay from Uppsala universitet/Institutionen för lingvistik och filologi

    Author : Frida Larsson Taghizadeh; [2023]
    Keywords : Turkic languages; Azeri; evidentiality; indirectivity; discourse types;

    Abstract : Johanson (2003: 274) refers to the grammatical categories of evidentiality found in Turkiclanguages as indirectivity, characterised “by reference to its reception by a conscious subject”.The East Old Turkic post-terminal verbal item in -miš and copula particle in ermiš are theoldest known markers of indirectivity in Turkic and have been morphologically preserved inthe West Oghuz languages. READ MORE

  4. 8. Effects of ESG on Market Risk : A Copula and a Regression Approach to CoVaR

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Viktor Thornqvist; [2023]
    Keywords : ESG; CoVaR; Market Risk; Quantile Regression; Copula; Fund Portfolios; ESG; CoVaR; Marknadsrisk; Kvantilregression; Copula; Fondportföljer;

    Abstract : With a background in EU regulations and an increased interest in Environmental, Social, and Governence (ESG) policies in companies when investing, this thesis considers the individual contributions to market risk in portfolios by different ESG parameters. It explores two different methods to examine if there are effects consistent across the whole Nordic markets, and the possibility to express any effects within portfolios in a clear way. READ MORE

  5. 9. Copula modeling for Portfolio Return Analysis

    University essay from KTH/Matematik (Avd.)

    Author : Markus Gustafsson; [2023]
    Keywords : applied mathematics; copulas; tillämpad matematik; copulas;

    Abstract : In this thesis, we investigate the advantages of using high-dimensional copula modeling to understand the riskiness of portfolio investments and to more realistically estimate future portfolio values. Our approach involves benchmarking some pre-determined fitted copulas to the 0. READ MORE

  6. 10. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE