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dc.contributorMuñoz Gracia, María del Pilar
dc.contributor.authorUrbano García, Francisco
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa
dc.date.accessioned2012-11-08T07:55:07Z
dc.date.available2012-11-08T07:55:07Z
dc.date.issued2012-01
dc.identifier.urihttp://hdl.handle.net/2099.1/16501
dc.description.abstractThis project explores behavioral driven simulations as an alternative to the existing classical methods to calculate the most common risk measurements for financial time series, that is, VaR (value at risk) and Expected Shortfalls. . This Final Master Research Project focuses in a comparative analysis among GARCH family models forecast power and a behavioral based simulation of traders in the stock market. The simulation target is to explain and give insights on why the volatility in financial series behaves the way it does, thus, this simulation goes beyond a mere formal model fitting of the data and tries to explain the mechanics within the data
dc.language.isoeng
dc.publisherUniversitat Politècnica de Catalunya
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.lcshMathematical statistics
dc.subject.otherVolatility
dc.subject.otherRisk
dc.subject.otherSimulation
dc.subject.otherVaR
dc.titleComparative analysis between standard risk measurements and behavioral simulations
dc.typeMaster thesis
dc.subject.lemacEstadística matemàtica -- Aplicacions
dc.subject.amsClassificació AMS::62 Statistics::62P Applications
dc.rights.accessOpen Access
dc.audience.educationlevelMàster
dc.audience.mediatorUniversitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística
dc.audience.degreeLLICENCIATURA DE CIÈNCIES I TÈCNIQUES ESTADÍSTIQUES (Pla 1999)


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