Essays about: "Skewness and Kurtosis"

Showing result 16 - 20 of 30 essays containing the words Skewness and Kurtosis.

  1. 16. Performance of passive long term investments : A longitudinal study over the relative performance of emerging- and developed markets

    University essay from Företagsekonomi

    Author : Haseeb Zaman Babar; Johan Norberg; [2013]
    Keywords : Terminal growth; Sharpe ratio; Currency effect; Skewness and Kurtosis; BRIC; CIVETS; Emerging Markets;

    Abstract : The concept of emerging markets came to surface in early 1980 and constituted of only eight countries from the two continents of South America and Asia. The globalization of financial markets has since raised the importance of emerging capital markets. READ MORE

  3. 17. The Skewed Perception of the Distribution of Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mattias Hellstrand; Robin Saliba; [2013]
    Keywords : Skewness; Kurtosis; Normal distribution; Stock returns; Stock pricing;

    Abstract : This thesis investigates the sensibility of the often used simplifications of how stock returns behave in financial models by studying Swedish stock returns using data from 1979 to 2012. The data is tested for normality by using Jarque-Bera test in several steps and exogenous factors are examined for significant impact on the skewness and kurtosis of the stock returns using a non-parametric test developed for this particular purpose. READ MORE

  4. 18. Microcalcification Detection in Mammography using Wavelet Transform and Statistical Parameters

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Eliza Hashemi Aghjekandi; [2012-03-15]
    Keywords : Microcalcifications in Mammography; Wavelets Transforms; Skewness; Kurtosis Parameter;

    Abstract : The earliest sign of breast cancer is the existence of microcalcifications which are tiny calcium clusters in breast tissues detected in mammographies. Early detection and diagnosis of microcalcifications is the main step to improve prognosis of breast cancer, which is one of the most frequently serious disease among women. READ MORE

  5. 19. Derivative market: efficient option pricing models and predictive informational content

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martins Feldmanis; Juris Rumba; [2012]
    Keywords : Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

    Abstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE

  6. 20. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE