Essays about: "Copulas"

Showing result 21 - 25 of 44 essays containing the word Copulas.

  1. 21. Copula selection and parameter estimation in market risk models

    University essay from KTH/Matematisk statistik

    Author : Carl Ljung; [2017]
    Keywords : ;

    Abstract : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. READ MORE

  3. 22. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE

  4. 23. 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

  5. 24. Tail Dependence Considerations for Cross-Asset Portfolios

    University essay from KTH/Matematisk statistik

    Author : Johanna Trost; [2016]
    Keywords : ;

    Abstract : Extreme events, heaviness of log return distribution tails and bivariate asymptotic dependence are important aspects of cross-asset tail risk hedging and diversification. These are in this thesis investigated with the help of threshold copulas, scalar tail dependence measures and bivariate Value-at-Risk. READ MORE

  6. 25. 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