Essays about: "generalized error distribution"

Showing result 11 - 15 of 15 essays containing the words generalized error distribution.

  1. 11. Measuring Risk for WTI Crude Oil: An application of Parametric Expected Shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Eriksson; [2015]
    Keywords : Risk Expected shortfall VaR Backtesting Crude oil; Business and Economics;

    Abstract : Oil is the most traded commodity in the world and is an important part in the global economy. The change in the price of oil has an effect on all sectors of the economy, and the ability to capture its risk is an important research topic. READ MORE

  3. 12. Unsupervised Change Detection Using Multi-Temporal SAR Data : A Case Study of Arctic Sea Ice

    University essay from KTH/Geodesi och geoinformatik

    Author : Linda Fröjse; [2014]
    Keywords : sea ice; the Arctic; Kittler-Illingworth; generalized Gaussian distribution; log-normal distribution; ERS; ENVISAT; SAR; ASAR; havsis; Arktis; Kittler-Illingworth; generaliserad normaldistribution; lognormal distribtion; ERS; ENVISAT; SAR; ASAR;

    Abstract : The extent of Arctic sea ice has decreased over the years and the importance of sea ice monitoring is expected to increase. Remote sensing change detection compares images acquired over the same geographic area at different times in order to identify changes that might have occurred in the area of interest. READ MORE

  4. 13. Measuring Risk for WTI Crude Oil - An application of Value-at-Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Eriksson; Jonathan Ljungqvist; [2014]
    Keywords : Market Risk; VaR; Crude oil; Forecasting; Business and Economics;

    Abstract : Crude oil is the most traded energy commodity in the world, and its price has a large impact on the everyday life of billions. Given the volatility of crude oil prices and its enormous effects on economies worldwide, there has been a growing demand for risk quantification and risk management for the market participants. READ MORE

  5. 14. Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models

    University essay from Statistiska institutionen

    Author : Yang Han; [2011]
    Keywords : Volatility GARCH models;

    Abstract : This paper discusses the performance of modeling and forecasting volatility ofdaily stock returns of A-shares in Shanghai Stock Exchange. The volatility is modeledby GARCH family models which are GARCH, EGARCH and GJR-GARCHmodels with three distributions, namely Gaussian distribution, student-t distributionand generalized error distribution (GED). READ MORE

  6. 15. Efficient Modelling and Performance Analysis of Wideband Communication Receivers

    University essay from Signaler och System

    Author : Andreas Eriksson; [2011]
    Keywords : performance analysis; ultra wideband; monte carlo method;

    Abstract : This thesis deals with Symbol Error Rate (SER)-simulation of wireless communications and its application into throughput analysis of UltraWideband (UWB) systems. The SERs will be simulated in C++ using the Monte Carlo method and when some are calculated, the rest will be estimated using a novel extrapolation method. READ MORE