Essays about: "Fat-tails"
Showing result 1 - 5 of 7 essays containing the word Fat-tails.
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1. Modeling asymmetry in volatility response - non-Gaussian innovations approach
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE
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2. Expected Shortfall Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE
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3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE
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4. Portfolio Optimization : Approaches to determining VaR and CVaR
University essay from KTH/Optimeringslära och systemteoriAbstract : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. READ MORE
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5. Black Swan Investing: An empirical study in context of efficient markets
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Purpose: The purpose of this paper is to assess the sustainability of the efficient market theorem when accounting for extreme events, which are of the essence in a Black Swan investment philosophy. Methodology: Quantitative approach. READ MORE