Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.797486
Title: Essays on financial returns' distributions modelling with applications
Author: Semeyutin, Artur
ISNI:       0000 0004 8504 2006
Awarding Body: University of Huddersfield
Current Institution: University of Huddersfield
Date of Award: 2019
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
This thesis consists of three main chapters. Its first and second chapters are concerned with univariate distributions modelling of financial data, while the third chapter has more applied and pragmatic financial scope of the Value-at-Risk estimations. First chapter targets developing new parametric distribution models for financial applications and suggests six of such models on the basis of Student's t distribution. Second chapter shifts to the field of nonparametric statistics for financial data in the time series estimations context and is concerned with selection of parameters for estimation of densities and distributions of financial returns with dynamic kernel methods. It compares performances of the dynamic kernel estimators under the parameters chosen by maximum likelihood and several least-squares routines. Third chapter, enriched with results from the previous substantive part, aims to position performance of the dynamic kernel estimator for distributions of financial returns within relevant group of methods for Value-at-Risk modelling and forecasting. Main chapters of this thesis are preceded by the preface section to summarize main motivations behind, provide overarching theme of the thesis, encompass some of its limitations and future research paths, which may follow from the conducted work, while main contributions of each chapter are also covered in the section concluding this work.
Supervisor: O'Neill, Robert ; Johnes, Jill Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.797486  DOI: Not available
Keywords: HB Economic Theory ; HG Finance
Share: