Sökning: "Joanna Tyrcha"
Hittade 5 avhandlingar innehållade orden Joanna Tyrcha.
1. Modeling Realized Covariance of Asset Returns
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
2. Modeling the covariance matrix of financial asset returns
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
3. A Treatise on Measuring Wiener-Granger Causality
Sammanfattning : Wiener-Granger causality is a well-established concept of causality based on stochasticity and the flow of time, with applications in a broad array of quantitative sciences. The majority of methods used to measure Wiener-Granger causality are based on linear premises and hence insensitive to non-linear signals. LÄS MER
4. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty
Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER
5. Statistical methods for molecular tissue-profiling
Sammanfattning : Through the advent of sequencing technologies, researchers have been able to map the entire human genome. The next major step is to classify the cells in order to obtain a cellular basis for health and disease. The previous ground for a taxonomy of the human cells have been mainly based on biological function and morphology. LÄS MER