Essays about: "Somayeh Aghababa"

Found 1 essay containing the words Somayeh Aghababa.

  1. 1. Extremal dependency:The GARCH(1,1) model and an Agent based model

    University essay from Institutionen för matematik (MA)

    Author : Somayeh Aghababa; [2013]
    Keywords : The GARCH 1; 1 model; The Agent based model; Stationarity; Regular variation; Extremogram.;

    Abstract : This thesis focuses on stochastic processes and some of their properties are investigated which are necessary to determine the tools, the extremal index and the extremogram. Both mathematical tools measure extremal dependency within random time series. Two different models are introduced and related properties are discussed. READ MORE