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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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The role of models in economics and risk management
Rowe, David M. - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 103-109
Persistent link: https://www.econbiz.de/10010359522
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Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market
Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …
Persistent link: https://www.econbiz.de/10011901688
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Epistemological foundations for the assessment of risks in banking and finance
Vuillemey, Guillaume - In: The journal of economic methodology 21 (2014) 2, pp. 125-138
Persistent link: https://www.econbiz.de/10010485920
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On risk prediction
Lönnbark, Carl - 2009
Persistent link: https://www.econbiz.de/10003833857
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Modelling optimal risk allocation in PPP projects using artificial neural networks
Jin, Xiao-hua; Zhang, Guomin - In: International journal of project management : the … 29 (2011) 5, pp. 591-603
Persistent link: https://www.econbiz.de/10009505711
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Forecasting extreme financial risk
Daníelsson, Jón - In: Risk management : a modern perspective, (pp. 509-536). 2006
Persistent link: https://www.econbiz.de/10003271617
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Die Quantifizierung und Prognose des Marktrisikos
Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996
Persistent link: https://www.econbiz.de/10001296812
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Measuring Longevity Risk Through a Neural Network Lee-Carter Model
Marino, Mario - 2020
One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee-Carter model. These models essentially use the ARIMA processes...
Persistent link: https://www.econbiz.de/10012834239