Essays about: "Jolanta Maria Pielaszkiewicz"

Found 1 essay containing the words Jolanta Maria Pielaszkiewicz.

  1. 1. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL

    University essay from

    Author : Magdalena Kucharska; Jolanta Maria Pielaszkiewicz; [2009]
    Keywords : NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR;

    Abstract : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. READ MORE