Essays about: "Copula- GARCH"

Showing result 11 - 15 of 15 essays containing the words Copula- GARCH.

  1. 11. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities

    University essay from Lunds universitet/Matematisk statistik

    Author : Felix Mörée; [2016]
    Keywords : Commodities; Copula; GARCH; VaR; Mathematics and Statistics;

    Abstract : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. READ MORE

  3. 12. 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

  4. 13. A Copula Approach to Modeling Extreme Values of Exchange Rates

    University essay from Lunds universitet/Matematisk statistik

    Author : Annika Johansson; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : In this thesis we consider a general approach to modeling dependence in extreme values of exchange rates by using copulas. As specific examples the following pairs of currencies are analyzed: Swedish krona to U.S. READ MORE

  5. 14. Measuring Portfolio Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chao Xu; Huigeng Chen; [2012]
    Keywords : Multivariate Value at Risk; portfolio risk measures; Copula; Monte Carlo simulation; DCC-GARCH; multivariate EWMA; Christoffersen test; quadratic probability score; root mean squared error; R software.; Business and Economics;

    Abstract : On estimating portfolio Value at Risk, the application of traditional univariate VaR models is limited. Under specific circumstance, the VaR estimation could be inadequate. Facing the financial crises and increasing uncertainty in financial markets, effective multivariate VaR models have become crucial. READ MORE

  6. 15. GARCH-Copula Approach to Estimation of Value at Risk for Portfolios

    University essay from Lunds universitet/Matematisk statistik

    Author : Yin Li; [2012]
    Keywords : Mathematics and Statistics;

    Abstract : .... READ MORE