Essays about: "Multivariate Volatility Models"

Showing result 11 - 15 of 17 essays containing the words Multivariate Volatility Models.

  1. 11. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Markus Andersson; [2015]
    Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

    Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE

  3. 12. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Francesco Chincoli; [2015]
    Keywords : Risk Premium; Factor Return Predictability; Forecast Accuracy; Regime Switching;

    Abstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE

  4. 13. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Max Andersson; [2015]
    Keywords : Fast Fourier transform; Spread options; Derivatives pricing; Stochastic volatility; Jump diffusion; Business and Economics; Mathematics and Statistics;

    Abstract : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). READ MORE

  5. 14. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application

    University essay from Nationalekonomiska institutionen; Statistiska institutionen

    Author : Joel Hartman; Jan Sedlak; [2013]
    Keywords : multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk;

    Abstract : The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. READ MORE

  6. 15. Measuring Portfolio Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chao Xu; Huigeng Chen; [2012]
    Keywords : Multivariate Value at Risk; portfolio risk measures; Copula; Monte Carlo simulation; DCC-GARCH; multivariate EWMA; Christoffersen test; quadratic probability score; root mean squared error; R software.; Business and Economics;

    Abstract : On estimating portfolio Value at Risk, the application of traditional univariate VaR models is limited. Under specific circumstance, the VaR estimation could be inadequate. Facing the financial crises and increasing uncertainty in financial markets, effective multivariate VaR models have become crucial. READ MORE