Institutional Repository

Risk properties and parameter estimation on mean reversion and Garch models

Show simple item record

dc.contributor.advisor Rapoo, E.M. (Dr.)
dc.contributor.author Sypkens, Roelf
dc.date.accessioned 2011-02-23T08:59:57Z
dc.date.available 2011-02-23T08:59:57Z
dc.date.issued 2010-09
dc.identifier.citation Sypkens, Roelf (2010) Risk properties and parameter estimation on mean reversion and Garch models, University of South Africa, Pretoria, <http://hdl.handle.net/10500/4049> en
dc.identifier.uri http://hdl.handle.net/10500/4049
dc.description.abstract 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. en
dc.format.extent 1 online resource (viii, 102 leaves)
dc.language.iso en en
dc.subject Garth models en
dc.subject Reversion en
dc.subject.ddc 519.5
dc.subject.lcsh Mathematical statistics
dc.subject.lcsh Probabilities
dc.subject.lcsh Finance -- Mathematical models
dc.subject.lcsh GARCH model
dc.subject.lcsh Mathematical models
dc.title Risk properties and parameter estimation on mean reversion and Garch models en
dc.type Dissertation en
dc.description.department Mathematical Sciences
dc.description.degree M.Sc. (Applied Mathematics)


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search UnisaIR


Browse

My Account

Statistics