Essays about: "Krzysztof Ostrowski"
Found 1 essay containing the words Krzysztof Ostrowski.
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1. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. READ MORE
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