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Estimating Value At Risk
Gerlach, Richard; Huang, Hai; Lu, Zudi - Business School, University of Sydney - 2010
Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in financial risk management. In this paper we propose a new approach termed...
Persistent link: https://www.econbiz.de/10010699868
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
Gerlach, Richard; Lu, Zudi; Huang, Hai - In: Journal of Forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10011006254
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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
Gerlach, Richard; Lu, Zudi; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10010156095
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Investor competence, trading frequency, and home bias
Graham, John R.; Harvey, Campbell R.; Huang, Hai - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1094-1106
Persistent link: https://www.econbiz.de/10003864213
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An approach to automatic development of interlocking logic based on Statechart
Chen, Xiangxian; He, Yulin; Huang, Hai - In: Enterprise information systems 5 (2011) 3, pp. 273-286
Persistent link: https://www.econbiz.de/10009260095
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Verification and validation in railway signalling engineering : an application of entreprise systems techniques
Chen, Xiangxian; Wang, Dong; Huang, Hai; Wang, Zheng - In: Enterprise information systems 8 (2014) 4, pp. 490-511
Persistent link: https://www.econbiz.de/10010381582
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Data configurations in railway signalling engineering : an application of enterprise systems techniques
Chen, Xiangxian; Guan, Aiai; Qiu, Xinxi; Huang, Hai; … - In: Enterprise information systems 7 (2013) 3, pp. 354-374
Persistent link: https://www.econbiz.de/10009789972
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A robust rational route to randomness in a simple asset pricing model
Hommes, Cars H.; Huang, Hai; Wang, Duo - In: Journal of economic dynamics & control 29 (2005) 6, pp. 1043-1072
Persistent link: https://www.econbiz.de/10002855709
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Nonparametric estimation of density function for sample process under mixing condition
Li, Zhu-yu; Lu, Zu-di; Chai, Gen-xiang - 1997
Persistent link: https://www.econbiz.de/10000960033