Essays about: "student’s t-distribution"

Showing result 1 - 5 of 11 essays containing the words student’s t-distribution.

  1. 1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Abstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE

  3. 2. 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

  4. 3. DCC-GARCH Estimation

    University essay from KTH/Matematik (Avd.)

    Author : Christofer Nordström; [2021]
    Keywords : Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    Abstract : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. READ MORE

  5. 4. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Edvin Wallin; Timothy Chapman; [2021]
    Keywords : Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Abstract : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. READ MORE

  6. 5. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    University essay from KTH/Matematisk statistik

    Author : Erik Malmgren; Annie Zhang; [2020]
    Keywords : GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Abstract : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. READ MORE