Essays about: "skew-t"
Found 2 essays containing the word skew-t.
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1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE
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2. Comparing Mean-Variance and CVaR optimal portfolios, assuming bivariate skew-t distributed returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this paper we are building portfolios consisting of the S&P 500 index and a T-bond index. The portfolio weights are chosen in such a way that the risk for the portfolio is minimized. To be able to minimize the risk for a portfolio, we first have to specify how to measure the portfolios risk. READ MORE