An alternative model for multivariate stable distributions

dc.contributor.advisorGuo, Renkuanen_ZA
dc.contributor.authorJama, Siphamandlaen_ZA
dc.date.accessioned2014-10-30T13:49:35Z
dc.date.available2014-10-30T13:49:35Z
dc.date.issued2009en_ZA
dc.descriptionIncludes bibliographical references (leaves 52-55).en_ZA
dc.description.abstractAs the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the sub-Gaussian alpha-stable distribution as another model for multivariate stable data without using the spectral measure as a dependence structure. From our investigation, firstly, we echo that the assumption of "Gaussianity" must be rejected, as a model for, particularly, high frequency financial data based on evidence from the Johannesburg Stock Exchange (JSE). Secondly, the introduced technique adequately models bivariate return data far better than the Gaussian model. We argue that unlike the sub-Gaussian stable and the model involving a spectral measure this technique is not subject to estimation of a joint index of stability, as such it may remain a superior alternative in empirical stable distribution theory. Thirdly, we confirm that the Gaussian Value-at-Risk and Conditional Value-at-Risk measures are more optimistic and misleading while their stable counterparts are more informative and reasonable. Fourthly, our results confirm that stable distributions are more appropriate for portfolio optimization than the Gaussian framework.en_ZA
dc.identifier.apacitationJama, S. (2009). <i>An alternative model for multivariate stable distributions</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/8959en_ZA
dc.identifier.chicagocitationJama, Siphamandla. <i>"An alternative model for multivariate stable distributions."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2009. http://hdl.handle.net/11427/8959en_ZA
dc.identifier.citationJama, S. 2009. An alternative model for multivariate stable distributions. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Jama, Siphamandla AB - As the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the sub-Gaussian alpha-stable distribution as another model for multivariate stable data without using the spectral measure as a dependence structure. From our investigation, firstly, we echo that the assumption of "Gaussianity" must be rejected, as a model for, particularly, high frequency financial data based on evidence from the Johannesburg Stock Exchange (JSE). Secondly, the introduced technique adequately models bivariate return data far better than the Gaussian model. We argue that unlike the sub-Gaussian stable and the model involving a spectral measure this technique is not subject to estimation of a joint index of stability, as such it may remain a superior alternative in empirical stable distribution theory. Thirdly, we confirm that the Gaussian Value-at-Risk and Conditional Value-at-Risk measures are more optimistic and misleading while their stable counterparts are more informative and reasonable. Fourthly, our results confirm that stable distributions are more appropriate for portfolio optimization than the Gaussian framework. DA - 2009 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2009 T1 - An alternative model for multivariate stable distributions TI - An alternative model for multivariate stable distributions UR - http://hdl.handle.net/11427/8959 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8959
dc.identifier.vancouvercitationJama S. An alternative model for multivariate stable distributions. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2009 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8959en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleAn alternative model for multivariate stable distributionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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