Search for dissertations about: "Copulas"
Showing result 1 - 5 of 7 swedish dissertations containing the word Copulas.
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1. Essays on Risk in International Financial Markets
Abstract : This thesis deals with techniques to model risk in financial markets and consists of four separate essays. The thesis begins with an introduction in chapter one, while chapter two to chapter five contains the four essays. The first essay examines the implication of using various risk measures for portfolio selection. READ MORE
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2. Bayesian Modeling of Conditional Densities
Abstract : This thesis develops models and associated Bayesian inference methods for flexible univariate and multivariate conditional density estimation. The models are flexible in the sense that they can capture widely differing shapes of the data. The estimation methods are specifically designed to achieve flexibility while still avoiding overfitting. READ MORE
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3. Essays on the Scandinavian Stock Markets
Abstract : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. READ MORE
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4. Copula-based Portfolio Optimization
Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE
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5. Bayesian inference for high dimensional factor copula models
Abstract : Copulas have been applied to many research areas as multivariate probability distributions for non-linear dependence structures. However, extending copula functions in high dimensions is challenging due to the increase of model parameters and computational intensity. READ MORE