Essays about: "t-copula"

Showing result 1 - 5 of 14 essays containing the word t-copula.

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. 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

4. 3. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis

   University essay from KTH/Matematisk statistik

   Author : Carl Axel Jönsson; Ludvig Hamilton; [2019]
   Keywords : Credit Risk; Economic Capital; Value-at-Risk; Intra-sector correlation; Inter-sector correlation; Copula; Basel III; Kreditrisk; Ekonomiskt kapital; Value-at-Risk; Intra-sektorkorrelation; Inter-sektorkorrelation; Copula; Basel III;

   Abstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE

5. 4. On Credit Spreads: An Autoregressve Model Approach

   University essay from Lunds universitet/Matematisk statistik

   Author : Anton Schölin; Filip Mörk Persson; [2017]
   Keywords : Mathematics and Statistics;

   Abstract : This thesis proposes an autoregressive credit spread model to make long term simulations of credit spreads and credit indices in the Investment grade and High yield bond segments. Several models are tested, and the final spread model produces simulations with statistics consistent with historical data, even though the model itself is relatively parsimonious. READ MORE

6. 5. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Adnan Berberovic; Alexander Eriksson; [2017]
   Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

   Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE