Essays about: "EWMA"

Showing result 21 - 25 of 31 essays containing the word EWMA.

  1. 21. Volatility Forecasting in Bull & Bear Markets

    University essay from Göteborgs universitet/Graduate School

    Author : Karl Oskar Ekvall; [2012-07-25]
    Keywords : ;

    Abstract : This thesis considers the performance of variance forecasting in bull and bear markets. Three asset indices, the DAX, the Standard & Poor’s 500 and the CurrencyShares Euro Trust, are split into bull and bear periods whereby variance forecasting is evaluated in the two states. READ MORE

  3. 22. Measuring Portfolio Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chao Xu; Huigeng Chen; [2012]
    Keywords : Multivariate Value at Risk; portfolio risk measures; Copula; Monte Carlo simulation; DCC-GARCH; multivariate EWMA; Christoffersen test; quadratic probability score; root mean squared error; R software.; Business and Economics;

    Abstract : On estimating portfolio Value at Risk, the application of traditional univariate VaR models is limited. Under specific circumstance, the VaR estimation could be inadequate. Facing the financial crises and increasing uncertainty in financial markets, effective multivariate VaR models have become crucial. READ MORE

  4. 23. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

    University essay from Avdelningen för ekonomi

    Author : Khadar Ali Mohamed; [2011]
    Keywords : Value at Risk VaR ; Normaldistribution; Student t-distribution; Expected exception; Failure rate;

    Abstract : The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. READ MORE

  5. 24. Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Cihan AL; Kubra Koroglu; [2011]
    Keywords : change point detection; optimal stopping time; shiryaev; shewhart; ewma; cusum; statistical process control; SPC; Financial Mathematics; changepoint detection; optimalstopping time; Shiryaev metod; Cusum metod; Ewma metod;

    Abstract : .... READ MORE

  6. 25. Monitoring Exchange Rates by Statistical Process Control

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Byeonggeon Ko; Yang Gao; [2011]
    Keywords : Financial Mathematics; exchange rates; statistical process control;

    Abstract : The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. READ MORE