Essays about: "Kurtosis"

Showing result 1 - 5 of 38 essays containing the word Kurtosis.

  1. 1. Downside risk: is downside risk being priced in the U.S. stock market?

    University essay from

    Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE

  2. 2. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    University essay from Lunds universitet/Statistiska institutionen

    Author : Ludvig Göransson; [2020]
    Keywords : ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Abstract : 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

  3. 3. The personalization-privacy paradox: personalized ads on social media : Exploring invasive ads on social media, in relation to perceived usefulness, consumer privacy and trust

    University essay from Linnéuniversitetet/Institutionen för marknadsföring (MF); Linnéuniversitetet/Institutionen för marknadsföring (MF)

    Author : Oliver Hillqvist; Amanda Johnsson Östergren; [2020]
    Keywords : Privacy; trust; social media; invasiveness; usefulness; personalized marketing;

    Abstract : Background: In the realm of online digital marketing, personalization tailored around the user’s interests are becoming the norm. It is becoming more and more challenging for marketers to get the attention of relevant consumers and get heard through all the noise. READ MORE

  4. 4. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE

  5. 5. Classifying natural forests using LiDAR data

    University essay from Högskolan i Jönköping/JTH, Datateknik och informatik; Högskolan i Jönköping/JTH, Datateknik och informatik

    Author : Simon Arvidsson; Marcus Gullstrand; [2019]
    Keywords : Geographic information systems; Classification and regression trees; Supervised learning by classification;

    Abstract : In forestry, natural forests are forest areas with high biodiversity, in need of preservation. The current mapping of natural forests is a tedious task that requires manual labor that could possibly be automated. READ MORE