Zobrazeno 1 - 4
of 4
pro vyhledávání: '"garch volatility model"'
Publikováno v:
Data Science in Finance and Economics, Vol 2, Iss 2, Pp 54-79 (2022)
In this work, estimating the exponentiated half logistic skew-t model parameters using some classical estimation procedures is considered. The finite sample performance of the EHLST parameter estimates is examined through extensive Monte Carlo simula
Externí odkaz:
https://doaj.org/article/f2e7b6cc0e8d48a5828136a5ca91008e
Publikováno v:
Scientific African, Vol 16, Iss , Pp e01253- (2022)
Most financial time series have non-normal features such as heavy tails, excess kurtosis and skewness. Financial asset returns volatility is also a significant measure in financial decisions, option pricing, risk management, and portfolio selection,
Externí odkaz:
https://doaj.org/article/f3ea80332bb94da6859e2f1a3c94202a
Publikováno v:
Risk Management Magazine, Vol 16, Iss 1, Pp 43-57 (2021)
This study proposes an algorithmic approach for selecting among different Value at Risk (VaR) estimation methods. The proposed metaheuristic, denominated as “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to m
Externí odkaz:
https://doaj.org/article/86fa992d2021498191c9b4ab8537dd6a
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