Essays about: "t copula"

Showing result 1 - 5 of 23 essays containing the words t copula.

  1. 1. The Role of Uni- and Multivariate Bias Adjustment Methods for Future Hydrological Projections and Subsequent Decision-Making

    University essay from Uppsala universitet/Luft-, vatten- och landskapslära

    Author : Anna Merle Liebenehm-Axmann; [2024]
    Keywords : Bias adjustment methods; future hydrological climate projections; statistical analysis; future streamflow analysis; biasjusteringsmetoder; framtida hydrologiska projektioner; statistisk analys; framtida vattenförings analys;

    Abstract : Climate models are essential for generating future climate projections. However, due to simplifications, the models can produce systematic differences between output and reality, which is referred to as model bias. Bias adjustment methods aim to reduce this error, which is important for making future projections more reliable. READ MORE

  3. 2. 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

  4. 3. Grammatical features of African American Vernacular English in the movie Sextuplets : A sociolinguistics study of the speech of the two African American characters Alan and Dawn

    University essay from Linnéuniversitetet/Institutionen för språk (SPR)

    Author : Maria Helgotsson; [2021]
    Keywords : Sociolinguistics; AAVE; African American Vernacular English; movie transcript; Sextuplets;

    Abstract : African American Vernacular English (AAVE) has been extensively explored in previous research in sociolinguistics. However, the portrayal of the sociolect in movies is still not widely researched. READ MORE

  5. 4. 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

  6. 5. Scenario Creation for Stress Testing Using Copula Transformation

    University essay from Umeå universitet/Institutionen för fysik

    Author : Gustav Nystedt; [2019]
    Keywords : Stress Testing; Stress Testing Scenarios; Scenario Generation; Copulas; t-copulas; Copula Transformation;

    Abstract : Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. READ MORE