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Application of Stochastic Models to Growth and Decline Episodes of Financial Data
AdvisorPanorska, Anna K.
Mathematics and Statistics
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In this thesis work, we analyze fit of bivariate BEG and BTLG models to financial asset returns' episodes of growth and decline. Our data include foreign exchange rates, stock, and stock's indexes prices, and commoditites. We apply BEG and BTLG models to all data and decide if the models fit reasonably well based on univariate and bivariate fit methods. We also assess "stability" of the returns with respect to their geometric summation. Our results show BEG and BTLG models fitting best the foreign exchange rates.