Essays about: "Dennis Sundström"

Found 1 essay containing the words Dennis Sundström.

  1. 1. Automatized GARCH parameter estimation

    University essay from KTH/Matematisk statistik

    Author : Dennis Sundström; [2017]
    Keywords : ;

    Abstract : This paper is about automatizing parameter estimation of GARCH type conditional volatility models for the sake of using it in an automated risk monitoring system. Many challenges arise with this task such as guaranteeing convergence, being able to yield reasonable results regardless of the quality of the data, accuracy versus speed of the algorithm to name a few. READ MORE