Essays about: "ewma"

Showing result 16 - 20 of 25 essays containing the word ewma.

  1. 16. 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

  2. 17. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

    University essay from Högskolan i Gävle/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

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

    University essay from Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab); Högskolan i Halmstad/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

  4. 19. Monitoring Exchange Rates by Statistical Process Control

    University essay from Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab); Högskolan i Halmstad/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

  5. 20. An Artificial neural network approach for process variance change detection for both small and large shifts

    University essay from Lunds universitet/Statistiska institutionen

    Author : Babar Zaman; [2010]
    Keywords : Artificial Neural Network for process control; Mathematics and Statistics;

    Abstract : Nowadays Statistical process control charts (SPCC) has become powerful tools to monitor process variability of products in manufacturing environments. The artificial neural network (ANN) technique is also nowadays popular to use for monitoring process variability of products as an alternative to SPCC due to its superior performance. READ MORE