Risk properties and parameter estimation on mean reversion and Garch models
Most of the notations and terminological conventions used in this thesis are Statistical. The aim in risk management is to describe the risk factors present in time series. In order to group these risk factors, one needs to distinguish between different stochastic processes and put them into diff...
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| Format: | Others |
| Language: | en |
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2011
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| Online Access: | Sypkens, Roelf (2010) Risk properties and parameter estimation on mean reversion and Garch models, University of South Africa, Pretoria, <http://hdl.handle.net/10500/4049> http://hdl.handle.net/10500/4049 |