Essays about: "Elliptical copulas"

Showing result 1 - 5 of 9 essays containing the words Elliptical copulas.

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. 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

4. 3. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives

   University essay from KTH/Matematisk statistik

   Author : Johan Viktorsson; [2017]
   Keywords : ;

   Abstract : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. READ MORE

5. 4. 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

6. 5. 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