Essays about: "Axel Eurenius Larsson"

Found 2 essays containing the words Axel Eurenius Larsson.

1. 1. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Axel Eurenius Larsson; [2022]
   Keywords : Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

   Abstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE

3. 2. Can pairs trading be used during a financial crisis?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Axel Eurenius Larsson; Vincent Karlberg Hauge; [2020]
   Keywords : Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.;

   Abstract : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. READ MORE