Essays about: "Student-t distribution"

Showing result 1 - 5 of 28 essays containing the words Student-t distribution.

1. 1. Copula approach to fitting bivariate time series

   University essay from Lunds universitet/Matematisk statistik

   Author : Jun Wang; [2023]
   Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

   Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

3. 2. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Mathilda Schönbeck; Fatima Salman; [2022]
   Keywords : Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

   Abstract : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. READ MORE

4. 3. A study incorporating skewness in Expected Shortfall Estimation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sreeja Madhavi Prajeesh; [2021]
   Keywords : Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

   Abstract : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. READ MORE

5. 4. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Evelyn Dela Gbadago; [2021]
   Keywords : Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

   Abstract : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. READ MORE

6. 5. Geometry dependency of cerebral arterial pressure, and estimation of wall shear stress in patients with carotid stenosis: a CFD approach

   University essay from Umeå universitet/Institutionen för fysik

   Author : Josef Odevik; [2020]
   Keywords : Carotid stenosis; Geometry dependency; Arterial pressure; Atherosclerosis; Wall shear stress; Computational fluid dynamics; Karotid stenos; Geometriberoende; Artärtryck; Åderförkalkning; Skjuvkraft; Numeriska flödesberäkningar;

   Abstract : This thesis have investigated how the cerebral arterial pressure can be estimated using computational fluid dynamics (CFD). Specifically, a sensitivity study of how the blood vessel diameter affects the arterial pressure in patients with carotid stenosis, has been conducted. READ MORE