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.
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Showing 1 to 3 of 3 for “"Skewed t-distribution"”.
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A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
… a three year backtest period (2010-2012). Four distributions are used: the normal, generalised error, t-distribution and the skewed t-distribution. A particular question asked by this paper, is whether the data from the latest financial crisis (2007) should be used in estimating VaR in a …
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with GARCH specifications can outperform mixed GARCH-jump models such as Maheu and McCurdy's (2004) GARJI model incorporating the autoregressive conditional jump intensity …
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Essays on currency carry trade in Africa’s emerging and frontier markets
… trade returns is through the GARCH (1, 1) with skewed t distribution of the innovation. Finally, the implications of the African currency carry trade for the stock markets in Africa were found to be mixed. Thus African currency carry trade returns of twenty two currency pairs were found to …