Essays about: "Beroendestruktur"

Found 3 essays containing the word Beroendestruktur.

  1. 1. Estimating Dependence Structures with Gaussian Graphical Models : A Simulation Study in R

    University essay from Umeå universitet/Statistik

    Author : Artem Angelchev Shiryaev; Johan Karlsson; [2021]
    Keywords : Simulation study; Graphical models; undirected Gaussian graphical model; Partial correlation; Precision matrix;

    Abstract : Graphical models are powerful tools when estimating complex dependence structures among large sets of data. This thesis restricts the scope to undirected Gaussian graphical models. An initial predefined sparse precision matrix was specified to generate multivariate normally distributed data. READ MORE

  3. 2. Enhancing ESG-Risk Modelling - A study of the dependence structure of sustainable investing

    University essay from KTH/Matematisk statistik

    Author : Edvin Berg; Karl Wilhelm Lange; [2020]
    Keywords : ESG; Sustainable Investing; Dependency Structure; Correlation; Risk; Random Matrix Theory; Eigenvalue; Eigenvalue Decomposition; Minimum Variance Portfolio; ESG; Hållbar Investering; Beroendestruktur; Korrelation; Stokastisk Matristeori; Egenvärden; Egenvärdes Dekomposition; Minimal Variansportfölj;

    Abstract : The interest in sustainable investing has increased significantly during recent years. Asset managers and institutional investors are urged to invest more sustainable from their stakeholders, reducing their investment universe. READ MORE

  4. 3. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data

    University essay from KTH/Matematisk statistik

    Author : Sara Holmsäter; Emelie Malmberg; [2016]
    Keywords : Multivariate Expected Shortfall; Component Expected Shortfall;

    Abstract : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. READ MORE