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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Risk properties and parameter estimation on mean reversion and Garch models

Sypkens, Roelf 09 1900 (has links)
Most of the notations and terminological conventions used in this thesis are Statistical. The aim in risk management is to describe the risk factors present in time series. In order to group these risk factors, one needs to distinguish between different stochastic processes and put them into different classes. The risk factors discussed in this thesis are fat tails and mean reversion. The presence of these risk factors fist need to be found in the historical dataset. I will refer to the historical dataset as the original dataset. The Ljung- Box-Pierce test will be used in this thesis to determine if the distribution of the original dataset has mean reversion or no mean reversion. / Mathematical Sciences / M.Sc. (Applied Mathematics)
2

Risk properties and parameter estimation on mean reversion and Garch models

Sypkens, Roelf 09 1900 (has links)
Most of the notations and terminological conventions used in this thesis are Statistical. The aim in risk management is to describe the risk factors present in time series. In order to group these risk factors, one needs to distinguish between different stochastic processes and put them into different classes. The risk factors discussed in this thesis are fat tails and mean reversion. The presence of these risk factors fist need to be found in the historical dataset. I will refer to the historical dataset as the original dataset. The Ljung- Box-Pierce test will be used in this thesis to determine if the distribution of the original dataset has mean reversion or no mean reversion. / Mathematical Sciences / M.Sc. (Applied Mathematics)

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