Essays about: "t distribution"

Showing result 1 - 5 of 298 essays containing the words t distribution.

  1. 1. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

  2. 2. Analysis of Cryptocurrency volatility and statistical distributions using ARMA and GARCH-type models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Zhiyi You; [2019]
    Keywords : Cryptocurrency; Bitcoin; Litecoin; Ethereum; volatility; ARMA; GARCH-type models; eGARCH; Student s t-distribution; Laplace distribution; statistical distributions; Mathematics and Statistics;

    Abstract : This study aims to investigate and model statistical properties of Bitcoin and other major cryptocurrencies. There were recent drastic changes in the level of Bitcoin prices as it moved from $740 in 2014 to $19,187 in 2017, and down to $3,830 in 2018. READ MORE

  3. 3. Implementation of a Block Krylov Algorithm in Variational Data Assimilation

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Clémentine Gas; [2019]
    Keywords : ;

    Abstract : Numerical weather prediction relies on two major components: sophisticated atmospheric forecast models and equally important data assimilation algorithms. Data assimilation (DA) is the process used to produce the best estimate of the state of a model, using an Earth system numerical model and observations. READ MORE

  4. 4. Thermoset biopolymer reinforced with carbon-nanotubes

    University essay from Högskolan i Borås/Akademin för textil, teknik och ekonomi

    Author : Morteza Esmaeili; [2019]
    Keywords : biopolymers; bio-composites; glycerol lactic acid; carbon nanotube; reinforcement; thermoset; dispersion;

    Abstract : Compared to conventional fibers, carbon nanotubes possess several significant properties, which make them as an excellent alternative reinforcement in multi-functional material industry. In this study, the possibility of dispersion of the multi-wall carbon nanotube (MWCNTs) in a thermoset bio-based resin (synthesized based on end-functionalized glycerol-lactic acid oligomers, GLA, at university of Borås) was investigated. READ MORE

  5. 5. GARCH models applied on Swedish Stock Exchange Indices

    University essay from Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Author : Wiktor Blad; Vilim Nedic; [2019]
    Keywords : Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Abstract : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. READ MORE