Essays about: "ewma"

Showing result 16 - 20 of 31 essays containing the word ewma.

1. 16. Practical estimation of Value at Risk and Expected Shortfall: Are complex methods really necessary?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henning Zakrisson; Johannes Solheim Karlsson; [2016]
   Keywords : GARCH; Value at Risk; Expected Shortfall; Parametric estimation; Historical simulation; Business and Economics;

   Abstract : This paper tests the parametric estimation method for Value at Risk and Expected Shortfall estimation together with the historical simulation method to find out if the historical simulation could yield accurate enough estimations in stormy and calm periods. Given that the parametric estimation proved superior, the thesis examines which volatility forecasting models, using which distribution assumptions, would yield the best estimations. READ MORE

3. 17. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Euan Anderson; [2015]
   Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

   Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE

4. 18. Volatility Forecasting In the Nordic Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Hummel; [2015]
   Keywords : GARCH; volatility; forecasting; Business and Economics;

   Abstract : This paper studies volatility prediction on OMX Stockholm 30, OMX Helsinki 25 and OMX Nordic 40. The models used are a historical variance model, an exponentially weighted moving average model and three models from the GARCH family. These are GARCH(1,1), EGARCH(1,1) and GJR(1,1), with normal and t-distribution respectively. READ MORE

5. 19. Evaluation of Value-at-Risk Models During Volatility Clustering

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Medjit Yalmaz Kadir; [2014]
   Keywords : EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Abstract : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. READ MORE

6. 20. An Analysis of Asynchronous Data

   University essay from KTH/Matematisk statistik

   Author : Kim Chatall; Niklas Johansson; [2013]
   Keywords : ;

   Abstract : Risk analysis and financial decision making requires true and appropriate estimates of correlations today and how they are expected to evolve in the future. If a portfolio consists of assets traded in markets with different trading hours, there could potentially occur an underestimation of the right correlation. READ MORE