Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 1 of 1 for “"Multivariate Student's t Distribution"”.
-
Volatility Modeling and Risk Measurement using Statistical Models based on the Multivariate Student's t Distribution
… exchange rate and stock market data, we proposed Student's t Autoregressive models to estimate expected return and volatility to measure risk, using Value at Risk (VaR) and Expected Shortfall (ES). The misspecification testing analysis shows that our proposed models can adequately capture the …