Sökning: "Gustav alfelt"

Hittade 2 avhandlingar innehållade orden Gustav alfelt.

  1. 1. Modeling Realized Covariance of Asset Returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Tatjana von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER

  3. 2. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER