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of 587
pro vyhledávání: '"Kupiec test"'
Autor:
Reza Taleblou, mohammad mahdi davoudi
Publikováno v:
فصلنامه پژوهشهای اقتصادی ایران, Vol 22, Iss 70, Pp 99-132 (2017)
In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. Accordin
Externí odkaz:
https://doaj.org/article/0ffee5f517af48489f194f4c6905080f
Autor:
Chen Zhang, Xinmiao Zhou
Publikováno v:
Heliyon, Vol 10, Iss 1, Pp e23358- (2024)
Forecasting the value at risk (VaR) of crude oil futures can be a challenging task for investors due to the high volatility of these prices. It is crucial to describe the return in the tail distribution, as extreme values can trigger larger price flu
Externí odkaz:
https://doaj.org/article/8d2499c86b7949398b1a07ad2d1841d7
Autor:
Moslem Nilchi, Daryush Farid
Publikováno v:
تحقیقات مالی, Vol 25, Iss 2, Pp 275-299 (2023)
Objective: The daily observations of the total index of the Tehran Stock Exchange show that in the last few years, stock prices have been very volatile. This volatility can harm the economic environment of Iran. Modeling and predicting price volatili
Externí odkaz:
https://doaj.org/article/9bdd52d1c5c84c42b3611acf1f5c403b
Autor:
مسلم نيلچي1 moslem.nilchi@gmail.com, داريوش فريد2 fareed@yazd.ac.ir
Publikováno v:
Financial Research Journal (FRJ). 2023, Vol. 25 Issue 2, p275-299. 27p.
INDUSTRY STANDARD AND ECONOMETRIC STANDARD: THE SEARCH FOR POWERFUL APPROACH TO EVALUATE VaR MODELS.
Autor:
Małecka, Marta1
Publikováno v:
Argumenta Oeconomica. 2021, Vol. 46 Issue 1, p5-30. 26p.
Akademický článek
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Akademický článek
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Autor:
Tomáš Konderla, Václav Klepáč
Publikováno v:
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Vol 65, Iss 5, Pp 1687-1694 (2017)
The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock Exchange in range from January
Externí odkaz:
https://doaj.org/article/10515962f5ae4a66a61a7a593c823742
Publikováno v:
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, Vol 3, Iss 9, Pp 31-52 (2014)
Due to price volatility in the oil market, market players are exposed to large risks. Value at Risk (VaR) is one of the main methods to measure market risk in various asset markets including commodities.,. In this study, Upside and Downside Risks are
Externí odkaz:
https://doaj.org/article/69eb3579a66d466ca8faabf21dab53b9
Autor:
Su, Ender, Knowles, Thomas W.
Publikováno v:
Emerging Markets Finance & Trade, 2006 Mar 01. 42(2), 18-62.
Externí odkaz:
https://www.jstor.org/stable/27750489