Essays about: "Covariance matrix"

Showing result 41 - 45 of 55 essays containing the words Covariance matrix.

1. 41. High Yield Corporate Bond Portfolio Optimization

   University essay from KTH/Optimeringslära och systemteori

   Author : Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
   Keywords : high-yield corporate bonds; optimization; dominant design;

   Abstract : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. READ MORE

3. 42. Return Models and Covariance Matrices

   University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

   Author : Xiaolei Xie; [2014]
   Keywords : returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

   Abstract : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. READ MORE

4. 43. Explicit Estimators for a Banded Covariance Matrix in a Multivariate Normal Distribution

   University essay from Linköpings universitet/Matematisk statistik; Linköpings universitet/Tekniska högskolan

   Author : Emil Karlsson; [2014]
   Keywords : Banded covariance matrices; Covariance matrix estimation; Explicit estimators; Multivariate normal distribution; general linear model.;

   Abstract : The problem of estimating mean and covariances of a multivariate normal distributedrandom vector has been studied in many forms. This thesis focuses on the estimatorsproposed in [15] for a banded covariance structure with m-dependence. READ MORE

5. 44. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application

   University essay from Nationalekonomiska institutionen; Statistiska institutionen

   Author : Joel Hartman; Jan Sedlak; [2013]
   Keywords : multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk;

   Abstract : The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. READ MORE

6. 45. Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Jonas Englund; [2013]
   Keywords : Johansen trace test; wild bootstrap; cointegration; heteroscedasticity; simulation;

   Abstract : In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. READ MORE