DC ElementWertSprache
dc.contributor.advisorStahlecker, Peter-
dc.contributor.authorBreitig, Marco-
dc.date.accessioned2021-01-19T11:54:46Z-
dc.date.available2021-01-19T11:54:46Z-
dc.date.issued2019-06-19-
dc.identifier.urihttps://ediss.sub.uni-hamburg.de/handle/ediss/8798-
dc.description.abstractWe introduce non-commutative probability theory as a tool to analyse sample covariance matrices. We develop the theory necessary for derivation of the spectral distribution of covariance matrix estimates of VARMA(p, q) random matrix models and introduce an extension to VARFIMA(p, d, q) random matrix models. The relationship between sample covariance matrices and there population counterparts are investigated. Specifically, we showcase efficient algorithms for calculating various VARMA(p, q) spectral densities. Both model classes are implemented so that parameter estimation is possible. For a feasible subset of a high-dimensional data set of stock returns we estimate the model parameters for VARMA(1, 1) random matrix models.en
dc.language.isoende_DE
dc.publisherStaats- und Universitätsbibliothek Hamburg Carl von Ossietzkyde
dc.rightshttp://purl.org/coar/access_right/c_abf2de_DE
dc.subjectNon-Commutative Probabilityen
dc.subjectCovariance Estimationen
dc.subjectCovariance Matrixen
dc.subjectRandom Matrix Theoryen
dc.subjectVARMAen
dc.subjectVARFIMAde
dc.subject.ddc310: Statistikde_DE
dc.titleNon-Commutative Probability Theory and Applications in Financeen
dc.title.alternativeNicht-kommutative Wahrscheinlichkeitstheorie und Anwendungen in Finanzwirtschaftde
dc.typedoctoralThesisen
dcterms.dateAccepted2020-01-23-
dc.rights.cchttps://creativecommons.org/licenses/by/4.0/de_DE
dc.rights.rshttp://rightsstatements.org/vocab/InC/1.0/-
dc.subject.bcl31.70: Wahrscheinlichkeitsrechnungde_DE
dc.type.casraiDissertation-
dc.type.dinidoctoralThesis-
dc.type.driverdoctoralThesis-
dc.type.statusinfo:eu-repo/semantics/publishedVersionde_DE
dc.type.thesisdoctoralThesisde_DE
tuhh.type.opusDissertation-
thesis.grantor.departmentBetriebswirtschaftde_DE
thesis.grantor.placeHamburg-
thesis.grantor.universityOrInstitutionUniversität Hamburgde_DE
dcterms.DCMITypeText-
dc.identifier.urnurn:nbn:de:gbv:18-ediss-89822-
item.fulltextWith Fulltext-
item.advisorGNDStahlecker, Peter-
item.creatorGNDBreitig, Marco-
item.creatorOrcidBreitig, Marco-
item.grantfulltextopen-
item.languageiso639-1other-
Enthalten in den Sammlungen:Elektronische Dissertationen und Habilitationen
Dateien zu dieser Ressource:
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Dissertation.pdfDissertation Marco Breitig2.74 MBAdobe PDFÖffnen/Anzeigen
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