Essays about: "copula"

Showing result 21 - 25 of 70 essays containing the word copula.

  1. 21. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  3. 22. Bivariate copula-based regression for modeling results of football matches

    University essay from Lunds universitet/Matematisk statistik

    Author : Rasmus Ekman; [2020]
    Keywords : Mathematics and Statistics;

    Abstract : .... READ MORE

  4. 23. Foreign character language : A case study on Kagura from Gin Tama

    University essay from Högskolan Dalarna/Japanska

    Author : Nillen Kanon; [2020]
    Keywords : ;

    Abstract : Role language in Japanese is a term defined in 2000 by Satoshi Kinsui. Role language usesdifferent pronouns, copula and sentence-ending particles to depict a certain type of characterusing language. READ MORE

  5. 24. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

  6. 25. The Aspects of “Be” in selected rap and Hip Hop lyrics: A marker of cultural identity?

    University essay from Göteborgs universitet/Institutionen för språk och litteraturer

    Author : Beatriz Helgotsson; [2019-12-16]
    Keywords : engelska; African American Vernacular English; grammar; Hip Hop Nation Language; cultural identity; sociolinguistics;

    Abstract : The aim of this study is to investigate the use of the African American English (AAVE) verb be in lyrics written and performed by four African American rappers, Kendrick Lamar, J. Cole, Gucci Mane and Future. This paper also demonstrates how the verb be in AAVE is used by these rappers to construct cultural identity. READ MORE