Essays about: "Magdalena Kucharska"

Found 2 essays containing the words Magdalena Kucharska.

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 Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Magdalena Kucharska; Jolanta 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

3. 2. 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