Essays about: "NIG"

Showing result 1 - 5 of 11 essays containing the word NIG.

  1. 1. Option Pricing on Levy Based Markets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Rafael Velasquez; [2020]
    Keywords : ;

    Abstract :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE

  3. 2. Robust motion estimation for vehicle dynamics applications using simplified models

    University essay from KTH/Fordonsdynamik

    Author : Siyao Chen; [2019]
    Keywords : ;

    Abstract : The overall aim of this thesis is to explore the accurate estimation methods for the vehicle motion with relatively cheap sensors. The vehicle states are essential to the vehicle control applications but sometimes expensive sensors are necessary to obtain accurate values. READ MORE

  4. 3. Univariate GARCH models with realized variance

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Carl Börjesson; Ossian Löhnn; [2019]
    Keywords : GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Abstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE

  5. 4. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Arvid Nybrant; Henrik Rundberg; [2018]
    Keywords : VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Abstract : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. READ MORE

  6. 5. Autoregressive Conditional Density

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Jacob Lindberg; [2016]
    Keywords : time series; higher moments; risk; autoregressive conditional density; ACD; out-of-sample; monte carlo; bootstrap;

    Abstract : We compare two time series models: an ARMA(1,1)-ACD(1,1)-NIG model against an ARMA(1,1)-GARCH(1,1)-NIG model. Their out-of-sample performance is of interest rather than their in-sample properties. The models produce one-day ahead forecasts which are evaluated using three statistical tests: VaR-test, VaRdur-test and Berkowitz-test. READ MORE