Essays about: "Elliptical Distribution"

Showing result 1 - 5 of 13 essays containing the words Elliptical Distribution.

  1. 1. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  3. 2. Stars Eating Planets

    University essay from Lunds universitet/Astronomi - Genomgår omorganisation

    Author : John Wimarsson; [2020]
    Keywords : Earth and planetary astrophysics; planetary dynamics; planet-planet scattering; planet consumption; Physics and Astronomy;

    Abstract : In a phase of instability during the dynamical evolution of some multiple exoplanetary systems, exchange of angular momentum and/or energy through gravitational interactions between planets will lead to alterations of their orbital properties. In some cases, planetary orbits end up crossing, which leads to close encounters between two planets. READ MORE

  4. 3. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

  5. 4. Galaxy evolution in extreme environments

    University essay from Lunds universitet/Astronomi - Genomgår omorganisation

    Author : Samhitha Vadlamani; [2019]
    Keywords : Galaxy evolution; interactions; starburst; Compact galaxy groups; Stephan s Quintet; Physics and Astronomy;

    Abstract : Interactions play a crucial role in determining how galaxies evolve in terms of their morphologies and star formation histories, since the majority of the known galaxies in the nearby Universe are found to exist in groups. Compact groups of galaxies are of particular interest as they contain a small number of galaxies in dense configurations and host repeated interactions between them, enabling us to capture signatures of these interactions (e. READ MORE

  6. 5. 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