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)
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:unisa/oai:uir.unisa.ac.za:10500/4049 |
| Date | 09 1900 |
| Creators | Sypkens, Roelf |
| Contributors | Rapoo, E.M. (Dr.) |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
| Format | 1 online resource (viii, 102 leaves) |
Page generated in 0.002 seconds