Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Kupiec test"'
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:
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
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
Autor:
Václav Klepáč, David Hampel
Publikováno v:
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Vol 63, Iss 4, Pp 1287-1295 (2015)
The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2
Externí odkaz:
https://doaj.org/article/2fa403a14cc649e8a84029412fe933a6
Autor:
Cerović, Julija, Karadžić, Vesna
Publikováno v:
Економічний часопис - ХХІ / Economic Annals-XXI. (11-12):19-23
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=151020
Autor:
Małecka, Marta
Publikováno v:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu / Research Papers of Wrocław University of Economics. (323):192-201
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=5772
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:
Đorić Dragan, Nikolić-Đorić Emilija
Publikováno v:
Yugoslav Journal of Operations Research, Vol 21, Iss 1, Pp 103-118 (2011)
The aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 December 2009. The obtained models were considered in e
Externí odkaz:
https://doaj.org/article/729be0a29fc64025b20658ceceb6ab39