Essays about: "Multivariate Financial Time Series"

Showing result 11 - 13 of 13 essays containing the words Multivariate Financial Time Series.

  1. 11. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    University essay from Lunds universitet/Statistiska institutionen

    Author : Wenjing Su; Yiyu Huang; [2010]
    Keywords : Mathematics and Statistics;

    Abstract : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. READ MORE

  3. 12. VaR methods for linear instruments

    University essay from Lunds universitet/Riskhantering (CI); Lunds universitet/Avdelningen för Brandteknik; Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Birgir Vidarsson; [2008]
    Keywords : VaR; Covariance; GARCH; EWMA; Market risk; Financial science; Financial time series; Volatility; Finansiering; Technological sciences; Teknik; Business and Economics; Technology and Engineering;

    Abstract : In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. READ MORE

  4. 13. Algorithmic Trading : Hidden Markov Models on Foreign Exchange Data

    University essay from Matematiska institutionen

    Author : Patrik Idvall; Conny Jonsson; [2008]
    Keywords : Algorithmic Trading; Exponentially Weighted Expectation Maximization Algorithm; Foreign Exchange; Gaussian Mixture Models; Hidden Markov Models;

    Abstract : In this master's thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market. READ MORE