Essays about: "Block Maxima"

Showing result 16 - 19 of 19 essays containing the words Block Maxima.

  1. 16. On Modelling Extreme Foreign Exchange Volatility Using Copulas

    University essay from Lunds universitet/Matematisk statistik

    Author : Anna Sandström; Henrik Bosaeus; [2015]
    Keywords : Foreign Exchange; Volatility; ARMA-GARCH; Block Maxima; Extreme Values; Copula; Maximum Likelihood.; Mathematics and Statistics;

    Abstract : The price volatility is an important property to monitor in financial trading. A volatile period implies threats of large losses, but at the same time opportunities of higher gains. This makes accurate volatility prediction models an important part of an algorithmic trading system. READ MORE

  3. 17. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Lindholm; [2015]
    Keywords : Expected shortfall; EVT; RiskMetrics; GARCH; Value-at-Risk; Basel;

    Abstract : Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH with the Peek over Threshold and Block Maxima approaches from the Extreme Value Theory framework. Value-at-Risk and Expected Shortfall (Conditional Value-at-Risk), with 95% and 99% confidence, is predicted for 25 years of the OMXS30. READ MORE

  4. 18. Modeling Value-at-Risk(VaR) in a Small Sized Emerging Financial Market: Evidence from Botswana

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ikanyeng Segonetso; Nayram Kodjo Mensah; [2014]
    Keywords : VaR; EVT; POT; Sub Saharan Africa; policy makers; Business and Economics;

    Abstract : Aim of the study: The objective of this study is to model VaR in a small sized rapidly developing financial market in Sub-Saharan Africa which has not only served as a haven for a number of foreign investors, but also has provided the best inflation adjusted returns. This market is of profound interest given that it has received limited attention from policy analysts and previous studies. READ MORE

  5. 19. Push it to the limit - Testing the usefulness of Extreme Value Theory in electricity markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Fulgentiusson; [2012]
    Keywords : Electricity; Extreme Value Theory; Peaks Over Threshold; Block Maxima; Value at Risk.; Business and Economics;

    Abstract : We set out to investigate whether the methodologies used in extreme value analysis are applicable in estimating Value at Risk (VaR) for the spot price returns of the European Energy Exchange (EEX). An initial inspection of hourly data reveals a volatile behaviour where returns of extreme proportions occur frequently. READ MORE