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Dissertations / Theses on the topic 'Moment’s value'

Author: Grafiati
Published: 2 June 2025
Last updated: 31 July 2025

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1

Kabui, Ali. "Value at risk et expected shortfall pour des données faiblement dépendantes : estimations non-paramétriques et théorèmes de convergences." Phd thesis, Université du Maine, 2012. http://tel.archives-ouvertes.fr/tel-00743159.

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Quantifier et mesurer le risque dans un environnement partiellement ou totalement incertain est probablement l'un des enjeux majeurs de la recherche appliquée en mathématiques financières. Cela concerne l'économie, la finance, mais d'autres domaines comme la santé via les assurances par exemple. L'une des difficultés fondamentales de ce processus de gestion des risques est de modéliser les actifs sous-jacents, puis d'approcher le risque à partir des observations ou des simulations. Comme dans ce domaine, l'aléa ou l'incertitude joue un rôle fondamental dans l'évolution des actifs, le recours a
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Hung, Chi-Hsiou. "CAPM, higher co-moment asset pricing models of stock returns and size, value and momentum strategies." Thesis, Lancaster University, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.429975.

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3

Schoeman, Cornelius Etienne. "Enhancing a value portfolio with price acceleration momentum." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22827.

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Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book
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Bhayo, Mujeeb-U.-Rehman. "Size, value and momentum in international stock returns." Thesis, Cardiff University, 2015. http://orca.cf.ac.uk/89905/.

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This thesis extends the empirical asset pricing literature by testing whether alternative specifications of Fama and French’s (1993) three-factor and Carhart’s (1997) four-factor models capture size, value and momentum anomalies. Specifically, the alternative models tested include the modified and index-based models of Cremers et al. (2013) and decomposed models of Fama and French (2012). This thesis investigates international stock returns and whether asset pricing models are integrated across four countries, namely the US, UK, Japan, and Canada. Finally, the information content of the empiri
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Yates, Marinus. "Fundamental momentum as an investment timing indicator for value portfolios." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/23068.

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The problem associated with value shares is that they may remain undervalued for an extended period of time. Therefore, determining when to buy value shares has been the focus of many investors and academics. Studies have determined fundamentals provide valuable information when selecting shares while price momentum provides a decent timing indicator. This research examines a novel share selection approach which seeks to combine fundamentals with momentum to obtain a leading timing indicator.This research seeks to determine if the fundamental momentum indicator can successfully and consistentl
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Babameto, Elton. "Incorporating value and momentum into the Black-Litterman optimisation framework." Thesis, University of Exeter, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.438751.

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7

Kapche, Fotso Herve Moise. "Cyclicality of size, value and momentum on the Johannesburg stock exchange." University of the Western Cape, 2019. http://hdl.handle.net/11394/7316.

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Magister Commercii - MCom<br>Over the past four decades, size, value and momentum effects have been uncovered on stock markets, and several multifactor asset pricing models have been proposed to explain them. The associated premiums have been found to be time-varying and the explanations behind the effects are still debated. In South Africa, contradictory findings have been reported on the existence of those effects and the explanatory power of multifactor models. More important, the cyclicality of the effects and the risk/mispricing debate have been given little attention. In this regar
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8

Schmitz, John J. "The multifactor risk, performance, and predictability of size, value, and momentum portfolios." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq28521.pdf.

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9

Morris, Sharon P. "Reflecting on the Core Values and Defining Moments of Public Library Directors." Thesis, Simmons College, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3664069.

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<p> This study, which contributes to the scant research on personal values in the library profession, examines the core values and the related defining moments of 12 public library directors who work in rural, suburban, and urban settings throughout the United States. The participants, recognized as managerial leaders in public libraries, oversee some of the highest use libraries per capita in the country. They share common values of benevolence, self-direction, and universalism as identified by the Portrait Values Questionnaire (PVQIV).</p><p> The second methodology, narrative inquiry, exam
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10

Tian, Ruilin. "Moment Problems with Applications to Value-At-Risk and Portfolio Management." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/rmi_diss/21.

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Moment Problems with Applications to Value-At-Risk and Portfolio Management By Ruilin Tian May 2008 Committee Chair: Dr. Samuel H. Cox Major Department: Risk Management and Insurance My dissertation provides new applications of moment theory and optimization to financial and insurance risk management. In the investment and managerial areas, one often needs to determine some measure of risk, especially the risk of extreme events. However, complete information of the underlying outcomes is usually unavailable; instead one has access to partial information such as the mean, variance
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GUIMARAES, MATHEUS BARBOSA DOS SANTOS DA SILVA. "THE COMBINATION OF VALUE AND MOMENTUM INVESTMENT STRATEGIES IN THE BRAZILIAN STOCK MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2014. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=24291@1.

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O presente estudo tem como objetivo testar a possibilidade de obtenção de retornos anormais de capital entre jan/2003 e dez/2012 para o mercado acionário brasileiro no curtíssimo prazo. Investigou-se, para tanto, a hipótese de reversão à média de curto prazo associada a uma seleção de ativos (ações) com base no critério de ordenamento decrescente do múltiplo P/VPA. Os ativos integrantes das carteiras vigentes do IBrX-100 foram ordenados de forma decrescente e em seguida estratégias contrárias com carteiras compradas em ações perdedoras e vendidas em ganhadoras foram montadas e testadas nos per
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Liu, Shenhui. "Automorphic L-Functions and Their Derivatives." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1499965951825371.

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13

Nadler, Wayne Peter. "Valued moments of therapeutic movement and change distribution, rate of occurrence, sequences, and covariation." Thesis, University of Ottawa (Canada), 1988. http://hdl.handle.net/10393/5111.

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14

Li, Xiafei. "The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies." Thesis, City University London, 2008. http://openaccess.city.ac.uk/8595/.

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Recent research has discussed the possible role of idiosyncratic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure ofthe static and conditional capital asset pricing models to explain momentum profits and the value premium The first and second parts ,of this study assess whether the widely documented momentum profits and post-1963 value premium can be attributed to time-varying idiosyncratic risk as described by a GJR-GARCH(l,I)-M model. In accordance with existing studies, we find that the static CAPM has no explan
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Čížek, Pavel. "Analýza vývoje spotřeby domácností v závislosti na výši daně z přidané hodnoty." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192353.

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The constant increase in public sector spending in the advanced economies, increases pressure on the revenue side of public budgets. The primary sources of public budgets are taxes. This raises a question of what type of tax instrument to choose in respect to meet the high efficiency in sourcing public budgets restriction and at the same time, to minimize the negative impact on the private sector and households. As generally effective tax is considered a consumption tax. But what is the real effect of this tax in the short run and long run? The aim of this thesis is to analyze the influence of
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Teixeira, Marcelo Paranaguá de Vasconcelos. "Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8889.

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Submitted by Marcelo Paranaguá de Vasconcelos Teixeira (mparanagua@fgvmail.br) on 2011-12-05T04:55:02Z No. of bitstreams: 1 Dissertation.pdf: 819382 bytes, checksum: cdaa86e447db4a4650348d08517c47b5 (MD5)<br>Approved for entry into archive by Andrea Virginio Machado (andrea.machado@fgv.br) on 2011-12-26T18:18:53Z (GMT) No. of bitstreams: 1 Dissertation.pdf: 819382 bytes, checksum: cdaa86e447db4a4650348d08517c47b5 (MD5)<br>Made available in DSpace on 2012-01-02T16:53:36Z (GMT). No. of bitstreams: 1 Dissertation.pdf: 819382 bytes, checksum: cdaa86e447db4a4650348d08517c47b5 (MD5) Previous
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Heath, A. "Bayesian computations for Value of Information measures using Gaussian processes, INLA and Moment Matching." Thesis, University College London (University of London), 2018. http://discovery.ucl.ac.uk/10050229/.

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Value of Information measures quantify the economic benefit of obtaining additional information about the underlying model parameters of a health economic model. Theoretically, these measures can be used to understand the impact of model uncertainty on health economic decision making. Specifically, the Expected Value of Partial Perfect Information (EVPPI) can be used to determine which model parameters are driving decision uncertainty. This is useful as a tool to perform sensitivity analysis to model assumptions and to determine where future research should be targeted to reduce model uncertai
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Alsaraireh, Ahmad. "Firm's value, financing constraints and dividend policy in relation to firm's political connections." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15824.

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The relationship between politicians and firms has attracted a considerable amount of research, especially in developing countries, where firms' political links are a widespread phenomenon. However, existing literature offers contradicting views about this relationship, espicially regarding the impact of firms' political connections on firms' market-performance. Furthermore, there is limited evidence on the impact of firms' political connections on some of the important corporate decisions, including firms' investment- and dividend-policies. Therefore, this thesis seeks to fill these gaps by o
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Gärde, Johannes, and Nils Otterman. "EBIT eller EBITDA? : Med syfte att uppnå överavkastning." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138820.

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Bakgrund: Omfattande forskning har visat på att investeringsstrategier kan användas för att kontinuerligt uppnå överavkastning gentemot index. Multiplarna EV/EBIT och EV/EBITDA är vanliga inslag i investeringsstrategier eftersom de båda ses som en nära approximation av ett företags operativa kassaflöde, samtidigt som de tar hänsyn till företagets kapitalstruktur. Även om det bara är avskrivningarna som skiljer multiplarna åt anse r vi att andelen investeringar i ett företag utgör en fundamental grund för dess långsiktiga värdeskapande. Av denna anledning finns det ett intresse i att undersöka
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Jacinto, Gutarra Jorge Lorenzo, and Baldeon Luis Ricardo Agüero. "Aplicación de factores de inversión: value, volatility, quality y momentum en la Bolsa de Valores de Lima." Master's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/626323.

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En la presente tesis de aplicación de Factores de Inversión: Value, Volatility, Quality y Momentum en la Bolsa de Valores de Lima (BVL), se utilizó como Benchmark el Índice General de la Bolsa de Valores de Lima (IGBVL), conformada por 39 valores, que mediante filtros de liquidez y tiempo de cotización en la Bolsa quedaron 27, por falta de datos se llegó finalmente a 25 valores. Luego, se definen las variables de cada factor. Para el Factor Value: PER y PBV (Price to Book). Para el Factor Momentum la variable momento de los precios. Para el Factor Quality la variable ROE. Para el Factor Vo
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Kelly, Liam Patrick. "Hacking Systems, Hacking Values: Interactive Theories For An Interactive World." Thesis, Virginia Tech, 2003. http://hdl.handle.net/10919/36477.

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<p> Langdon Winner's article "Do Artifacts Have Politics?" (1986) has become a classic piece within Science and Technology Studies. While Winner was certainly not the first to consider the inherently political qualities of technology, his article has assumed the role of a touchstone for both supporters and critics of the idea that artifacts embody political and social relationships. In the chapters that follow, I shall try to answer Winner and his critics, by studying a particular technology that I believe to be capable of shedding some much-needed light on the issue. My aim is provide a re
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Mil, Veliz Wendy Estefani, Estella Andy Roberto Saco, Blas Johan Yrving Mertz, and Salaverry Milagros Coello. "Una forma más amigable de conservar los momentos más importantes de tus hijos." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2018. http://hdl.handle.net/10757/656932.

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La presente tesis tiene como finalidad realizar una investigación y análisis acerca del proyecto empresarial “Baby´s Memories” y evaluar aspectos como el entorno, mercado meta, todo el sistema operativo y financiero de la empresa. Asimismo, destacamos la importancia de elaborar este plan de negocios para tener una alta probabilidad de éxito en la empresa y que nos permita incorporar la innovación en todos los procesos diseñados. Todos los resultados obtenidos en el presente trabajo de investigación que encontraremos en los estados financieros nos permitirán que los inversionistas y accionista
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Lam, Wing Chung. "Second moment of the central values of the symmetric square L-functions." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1429139505.

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Hoogerheide, Shannon Michelle Fogwell. "Trapped positrons for high-precision magnetic moment measurements." Thesis, Harvard University, 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=3566927.

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<p> A single electron in a quantum cyclotron provides the most precise measurement of the electron magnetic moment, given in units of the Bohr magneton by <i> g</i>/2 = 1.001 159 652 180 73 (28) [0.28 ppt]. The most precise determination of the fine structure constant comes from combining this measurement with Standard Model theory, yielding &alpha;<sup>-1</sup> = 137.035 999 173 (34) [0.25 ppb], limited by the experimental uncertainty of the electron <i> g</i>-value. The most stringent test of CPT symmetry in leptons comes from comparing the electron and positron magnetic moments, limited by
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Dellner, Johan. "Can a simple model for the interaction between value and momentum traders explain how equity futures react to earnings announcements?" Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-31531.

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Fusek, Michal. "Rozdělení extrémních hodnot a jejich aplikace." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2013. http://www.nusl.cz/ntk/nusl-234183.

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The thesis is focused on extreme value distributions and their applications. Firstly, basics of the extreme value theory for one-dimensional observations are summarized. Using the limit theorem for distribution of maximum, three extreme value distributions (Gumbel, Fréchet, Weibull) are introduced and their domains of attraction are described. Two models for parametric functions estimation based on the generalized extreme value distribution (block maxima model) and the generalized Pareto distribution (threshold model) are introduced. Parameters estimates of these distributions are derived usin
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Ozdemir, Nilufer A. "The method of moments solution of a nonconformal volume integral equation via the IE-FFT algorithm for electromagnetic scattering from penetrable objects." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1182258230.

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Nilsson, Maximiliam, and Månsson Gottfrid Bylund. "Combining Value and Momentum Strategies in the Swedish Stock Market : How market anomalies can be exploited to outperform stock market index." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85876.

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Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower
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Costa, Rafael Carneiro da. "A relaÃÃo entre receitas e despesas nos MunicÃpios Brasileiros: uma anÃlise sob as TÃcnicas de Bootstrap." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=5308.

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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico<br>Trabalhos recentes mostraram que a teoria assintÃtica traz resultados equivocados nos testes de causalidade quando o MÃtodo de Momentos Generalizados (MGM) à utilizado. Este estudo re-examina a relaÃÃo dinÃmica entre receitas prÃprias, despesas correntes e transferÃncias correntes para os governos municipais brasileiros no perÃodo de 2000 a 2008. A estimaÃÃo do modelo de dados em painel dinÃmico à feita atravÃs do MGM, mas os testes de especificaÃÃo utilizam valores crÃticos gerados por bootstrap para fornecer melhor aproximaÃÃo
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Xiao, Xuanxuan. "Valeurs centrales et valeurs au bord de la bande critique de fonctions L automorphes." Thesis, Université de Lorraine, 2015. http://www.theses.fr/2015LORR0068/document.

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Cette thèse, constitué en trois parties, est consacrée à l'étudie des valeurs spéciales de fonctions L automorphes. La première partie contient un survol rapide de la théorie des formes modulaires et des fonctions L de puissance symétrique associées qui est nécessaire dans la suite. Dans la seconde partie, nous nous concentrons sur les valeurs centrales, par l'étude des moments intégraux dans petit intervalle, pour les fonctions L automorphes. On prouve la conjecture de Conrey et al. et donne l'ordre exact pour les moments sous l'hypothèse de Riemann généralisée. La troisième partie présente d
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Blachut, Vít. "Neparametrické metody odhadu parametrů rozdělení extrémního typu." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2013. http://www.nusl.cz/ntk/nusl-230947.

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The concern of this diploma thesis is extreme value distributions. The first part formulates and proves the limit theorem for distribution of maximum. Further there are described basic properties of class of extreme value distributions. The key role of this thesis is on non-parametric estimations of extreme value index. Primarily, Hill and moment estimator are derived, for which is, based on the results of mathematical analysis, suggested an alternative choice of optimal sample fraction using a bootstrap based method. The estimators of extreme value index are compared based on simulations from
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Alias, Nor Eliza Binti. "IMPROVING EXTREME PRECIPITATION ESTIMATES CONSIDERING REGIONAL FREQUENCY ANALYSIS." 京都大学 (Kyoto University), 2014. http://hdl.handle.net/2433/192162.

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Sánchez, Cruz (Sánchez Ruiz). "Vallée du Khabour. Quartiers d'habitation et premiers moments de l'urbanisme en Mésopotamie du Nord." Doctoral thesis, Universitat Pompeu Fabra, 2012. http://hdl.handle.net/10803/80904.

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Este trabajo está dedicado al estudio de la arquitectura doméstica de los yacimientos del valle del Habur (Siria), durante el periodo que va desde el Neolítico hasta el segundo milenio a.C. Basándonos en la información de los registros arqueológicos de los asentamientos hemos podido observar en la arquitectura de las construcciones domésticas un empleo sistemático del ladrillo “crudo”, así como una gran homogeneidad en la forma, dimensiones y distribución espacial de las casas, durante todo el período estudiado. Nos encontramos con pequeñas construcciones rectangulares en su gran mayoría,
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Miurin, Jacopo <1991&gt. "The B2B electronic invoicing, between the European system transition and anti-fraud mechanisms of value added tax and a momentum for accounting operational performance improvements." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/14607.

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The theme of tax documents "dematerialization", issued in the context of taxable business operations, is one of the main elements of discussion within the reform processes of the European Digital Agenda as in those concerning the streamlining of bureaucratic procedures with the aim at increasing Italian efforts to fight VAT evasion. Among all the digital novelties, the one concerning the obligation of electronic invoicing within B2B and B2C operations has aroused greater curiosity and interest. Electronic invoicing plays a fundamental role for tax purposes, with particular reference to the as
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Zamorano, Young Rodrigo Andrés. "Efecto de distintos momentos de cosecha de uva cv. cabernet sauvignon sobre la composición química y sensorial de los vinos en el Valle del Maipo." Tesis, Universidad de Chile, 2004. http://repositorio.uchile.cl/handle/2250/151327.

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Memoria para optar al Título Profesional de Ingeniero Agrónomo Mención Enología y Vitivinicultura<br>El siguiente estudio está basado en la determinación y comparación de la composición fenólica, de distintos parámetros físicos y químicos de bayas y vinos, y de la evaluación sensorial de vinos de Cabernet Sauvignon provenientes de una zona alta y baja del valle del Maipo durante la vendimia 2003. Las bayas recolectadas en diferentes fechas de muestreo fueron sometidas a análisis básicos, donde se midió el peso de cien bayas y de sus respectivos hollejos y semillas, sólidos solubles, acidez de
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Loum, Mor Absa. "Modèle de mélange et modèles linéaires généralisés, application aux données de co-infection (arbovirus & paludisme)." Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLS299/document.

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Nous nous intéressons, dans cette thèse, à l'étude des modèles de mélange et des modèles linéaires généralisés, avec une application aux données de co-infection entre les arbovirus et les parasites du paludisme. Après une première partie consacrée à l'étude de la co-infection par un modèle logistique multinomial, nous proposons dans une deuxième partie l'étude des mélanges de modèles linéaires généralisés. La méthode proposée pour estimer les paramètres du mélange est une combinaison d'une méthode des moments et d'une méthode spectrale. Nous proposons à la fin une dernière partie consacrée aux
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Amaral, Marina Andrea de Almeida Gonçalves. "A evolução da especialização tecnológica da economia e das exportações portuguesas, desde os anos 1960 até ao momento actual, face a um conjunto de oportunidades e desafios." Master's thesis, Instituto Superior de Ciências Sociais e Políticas, 2011. http://hdl.handle.net/10400.5/3534.

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Dissertação de Mestrado em Relações Internacionais<br>A presente Tese de Mestrado analisa a evolução da especialização da economia e das exportações no contexto da internacionalização da economia portuguesa, tendo por base, que a crescente abertura da economia portuguesa ao exterior e a intensificação da sua integração nos espaços económicos europeus originaram profundas alterações estruturais. Com a entrada na EFTA e mais tarde na CE/UE, a estrutura da economia e das exportações revelaram uma forte mutação, evoluindo da especialização em produtos de baixo valor acrescentado caracterizad
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Bozovic, Milos. "Risks in Commodity and Currency Markets." Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7388.

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This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion model for valuation of contingent claims on commodities in order to investigate the pricing implications of shocks that are exogenous to this market. The second chapter analyzes the nature and pricing implications of the abrupt changes in exchange rates, as well as the ability of these changes to expla
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Kolluri, Murali Mohan. "Developing a validation metric using image classification techniques." University of Cincinnati / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1406819893.

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Mselmi, Nada. "Financial distress prediction and equity pricing models : Theory and empirical evidence in France." Thesis, Orléans, 2017. http://www.theses.fr/2017ORLE0502.

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Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels qu
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41

Aziz, Mohammad Abdus Samad. "Study of Unified Multivariate Skew Normal Distribution with Applications in Finance and Actuarial Science." Bowling Green State University / OhioLINK, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1306504618.

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Castro, Alonso Andrea. "Efectos del momento de cosecha de uva cv. Merlot sobre la composición química y sensorial de los vinos en el valle del Maipo." Tesis, Universidad de Chile, 2005. http://www.repositorio.uchile.cl/handle/2250/101785.

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Petruccelli, Antonio. "Meccanismi focali e distribuzione magnitudo-frequenza dei terremoti su scala globale ed euromediterranea." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/7566/.

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La tesi ha come obiettivo l’analisi della correlazione dello stile tettonico, in termini di deformazione sismica, con il b-value della relazione magnitudo-frequenza di occorrenza (Gutenberg e Richter, 1944) in area globale ed euro-mediterranea. L’esistenza di una dipendenza funzionale tra il b-value e gli angoli di rake, del tipo di quella segnalata da Schorlemmer et al. (2005) e Gulia e Wiemer (2010), viene confermata prima su scala globale e poi su scala euro-mediterranea, a partire dai dati dei principali dataset di tensori momento delle aree in esame, il Global Centroid Moment Tensor (GCMT
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McLennan, Amy Kathleen. "An ethnographic investigation of lifestyle change, living for the moment, and obesity emergence in Nauru." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:bd001d98-7648-4d2b-9d92-8130f022b34b.

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The Republic of Nauru, a small Pacific island nation, has one of the highest obesity rates in the world. Obesity emerged rapidly in Nauru during the 1970s, a period characterised by political independence and unprecedented economic growth resulting from lucrative phosphate mining. In the mid-1970s, the Nauruan population was one of the first in the world in which obesity, diabetes mellitus and cardiovascular disease – co-morbidities associated with obesity – were identified as significant public health concerns. Such ‘lifestyle diseases’ continue to have debilitating effects on the Nauruan com
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Bilayi-Biakana, Clémonell Lord Baronat. "Regularly Varying Time Series with Long Memory: Probabilistic Properties and Estimation." Thesis, Université d'Ottawa / University of Ottawa, 2020. http://hdl.handle.net/10393/40083.

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We consider tail empirical processes for long memory stochastic volatility models with heavy tails and leverage. We show a dichotomous behaviour for the tail empirical process with fixed levels, according to the interplay between the long memory parameter and the tail index; leverage does not play a role. On the other hand, the tail empirical process with random levels is not affected by either long memory or leverage. The tail empirical process with random levels is used to construct a family of estimators of the tail index, including the famous Hill estimator and harmonic moment estimators.
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Liu, Xiaodong. "Econometrics on interactions-based models methods and applications /." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180283230.

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Löhndorf, Nils. "An empirical analysis of scenario generation methods for stochastic optimization." Elsevier, 2016. http://dx.doi.org/10.1016/j.ejor.2016.05.021.

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This work presents an empirical analysis of popular scenario generation methods for stochastic optimization, including quasi-Monte Carlo, moment matching, and methods based on probability metrics, as well as a new method referred to as Voronoi cell sampling. Solution quality is assessed by measuring the error that arises from using scenarios to solve a multi-dimensional newsvendor problem, for which analytical solutions are available. In addition to the expected value, the work also studies scenario quality when minimizing the expected shortfall using the conditional value-at-risk. To quickly
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Södergren, Anders. "Asymptotic Problems on Homogeneous Spaces." Doctoral thesis, Uppsala universitet, Matematiska institutionen, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-132645.

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This PhD thesis consists of a summary and five papers which all deal with asymptotic problems on certain homogeneous spaces. In Paper I we prove asymptotic equidistribution results for pieces of large closed horospheres in cofinite hyperbolic manifolds of arbitrary dimension. All our results are given with precise estimates on the rates of convergence to equidistribution. Papers II and III are concerned with statistical problems on the space of n-dimensional lattices of covolume one. In Paper II we study the distribution of lengths of non-zero lattice vectors in a random lattice of large dimen
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Chou, Tai-Cheng, and 周泰成. "Reinvestigating the Momentum Strategy Based on Conditional Value at Risk and Higher Order Moments in Taiwan Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/51507653925727953611.

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碩士<br>國立臺北大學<br>企業管理學系<br>97<br>The goals of this paper are enhance the ability, which we focus on the stock selection criteria and the size of winner and loser portfolios, of momentum to earn excess return in Taiwan stock market and explain the momentum payoffs by higher order moments. The data sample consists of 499 include in Taiwan Stock Exchange in period January 1, 2004 to December 31, 2008. We use cumulative return, Sharpe ratio, Stable-Tail Adjusted Return ratio（STARR）, and Rachev ratio（R-ratio） to rank the stocks. STARR and R-ratio are new criteria based on conditional value at risk（C
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Baptista, Leonor Maria de Santa Marta Granger. "Optimal concentration for value and momentum portfolios." Master's thesis, 2017. http://hdl.handle.net/10362/25870.

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This paper aims to verify the persistence of the profitability of the Momentum strategy, first implemented by Richard Driehaus in the 1980’s. Furthermore, the paper will test the impact of changing several parameters of the strategy on its profitability. A combination of the Momentum strategy with a Value-oriented one will also be analyzed, with a view to assess the outperformance of this aggregate portfolio. The results are in line with Jedadeesh and Titman (2001), there is still evidence for its profitability in recent years, except in times of severe volatility. Additionally, there is
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