Essays about: "fat tails"
Showing result 1 - 5 of 8 essays containing the words fat tails.
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1. Modeling asymmetry in volatility response - non-Gaussian innovations approach
University essay from Lunds universitet/Statistiska institutionenAbstract : 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
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2. Expected Shortfall Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE
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3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE
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4. Lipid Bilayers on Planes and in Micropipettes - Two model systems to study binding of DivIVA to flat and negatively curved membranes
University essay from Lunds universitet/Fysikalisk kemi; Lunds universitet/Fysiska institutionenAbstract : The aim of this thesis work was to form and characterize model systems of cell membranes on planar supports and in micropipettes. Firstly, supported lipid bilayers (SLBs) were formed on glass slides after an existing experimental procedure. READ MORE
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5. Portfolio Optimization : Approaches to determining VaR and CVaR
University essay from KTH/Optimeringslära och systemteoriAbstract : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. READ MORE