Fung, Yu Hin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 39-40). / Abstracts in English and Chinese. / List of Figures --- p.v / List of Tables --- p.vii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Extremogram --- p.3 / Chapter 2.1 --- Strictly Stationary --- p.3 / Chapter 2.2 --- Regularly Varying: A time series {Xt} --- p.3 / Chapter 2.3 --- (Upper) tail dependence --- p.5 / Chapter 2.4 --- Extremogram --- p.6 / Chapter 3 --- Simulated Models --- p.9 / Chapter 3.1 --- Autoregressive (AR) Process --- p.9 / Chapter 3.1.1 --- The simulation --- p.9 / Chapter 3.1.2 --- Theoretical findings --- p.11 / Chapter 3.2 --- Moving Average (MA) Process --- p.12 / Chapter 3.2.1 --- The simulation --- p.12 / Chapter 3.3 --- GARCH and SV --- p.25 / Chapter 4 --- Applications to Market Data --- p.29 / Chapter 4.1 --- Case study: 2011 Japan Earthquake EOD data --- p.29 / Chapter 4.1.1 --- Data description --- p.29 / Chapter 4.1.2 --- Results --- p.30 / Chapter 4.2 --- Case study: TEPCO multi-timeframe analysis --- p.31 / Chapter 4.2.1 --- Data description --- p.31 / Chapter 4.2.2 --- Results --- p.32 / Chapter 5 --- Summary --- p.37 / References --- p.39
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327386 |
| Date | January 2011 |
| Contributors | Fung, Yu Hin., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, iv, viii, 40 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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