Benutzer: Gast  Login
Weniger Felder
Einfache Suche
Dokumenttyp:
Masterarbeit
Autor(en):
Johannes Klepsch
eMail-Adresse:
johannes.klepsch@tum.de
Titel:
Conditional Correlation in Financial Returns, A Model Free Approach
Abstract:
In the modeling of financial time series, mathematicians have always incurred limits when trying to fit models to datasets. It seems like the evolution of market phenomena is too complex to be captured by an easy parametric model. In 2003, Politis introduced a modelfree data-based approach that he named NoVaS (Normalizing and Variance Stabilizing) method. As no particular model is invoked, the loss of information whilst fitting a model to the data is avoided. At the same time, due to i...     »
DDC:
510 Mathematik
Jahr:
2013
Hochschule / Universität:
Technische Universität München
Format:
Text
Annahmedatum:
08.11.2013
 BibTeX