Publications | LUP Student Papers

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2025
Mark Model vs. Market - A comparison of VaR and ES estimation for sector ETFs using model based IGARCH and market implied volatility in the VWHS framework
Mettävainio, Isak ^LU and Bergo, Erik ^LU (2025) NEKN01 20251
Department of Economics
- Master (One yr)
2020
Mark Evaluating VaR and ES for commodities - both conventionally and with neural networks
Fang, David ^LU and Eile, Måns ^LU (2020) NEKN02 20201
Department of Economics
- Master (One yr)
2014
Mark Evaluation of Value-at-Risk Models During Volatility Clustering
Yalmaz Kadir, Medjit ^LU (2014) NEKN02 20141
Department of Economics
- Master (One yr)