Essays about: "skewed student-t distribution"

Found 5 essays containing the words skewed 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. 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

  4. 3. Expected Shortfall Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kristina Boehm; [2019]
    Keywords : normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Abstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE

  5. 4. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?

    University essay from Lunds universitet/Statistiska institutionen

    Author : Gustav Furenmo; [2019]
    Keywords : GARCH; OMXS30; financial time series; volatility; heteroscedasticity; stationarity; McLeod-Li test; normal distribution; student-t distribution; skewed student-t distribution; generalised error distribution; skewed generalised error distribution; Mathematics and Statistics;

    Abstract : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. READ MORE

  6. 5. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Brunlid; [2007]
    Keywords : credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. READ MORE