نتایج جستجو برای: مدل panel var

تعداد نتایج: 229445  

هدف از این مطالعه، بررسی نحوه تعیین پرتفوی بهینه در بورس اوراق بهادار با توجه به شاخص ارزش در شرایط توام با مخاطره (VaR) است. داده های مورد استفاده، مربوط به معاملات روزانه سهام 30 شرکت فعال پذیرفته شده در بورس اوراق بهادار تهران است که بازدهی انتظاری روزانه آنها در سال 1383 بیشتر از 4/0 درصد بوده است. با به کارگیری این داده ها، در قالب 24سناریوی مختلف و با توجه به سه متغیر بودجه، سطح ریسک سرما...

2004
S. K. Park E. Kalnay

[1] In this study, the performance of inverse threedimensional variational assimilation (I3D-Var) is investigated in terms of dissipation process for an advection-diffusion problem. The performance of I3D-Var becomes poorer with larger diffusion coefficients. However, even for strong dissipation, the cost function during early iterations in the I3D-Var decreases still much faster than it does i...

2014
Denis Pelletier Wei Wei

This paper develops a new test to evaluate Value at Risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a challenging problem, and popular VaR forecast relies on unrealistic assumptions. Hence, assessing the performance of VaR is of great importance. We propose the geometric-VaR test which utilizes the duration bet...

2006
Robert P. Adams Andrea E. Schwarzbach

Recent DNA sequencing data have shown that J. flaccida var. flaccida, J. f. var. martinezii and J. f. var. poblana are polyphyletic taxa. Additional analysis using Random Amplified Polymorphic DNAs (RAPDs) analyses for J. durangensis, J. flaccida var. flaccida, var. martinezii, and var. poblana, J. jaliscana, J. monticola and J. standleyi revealed exactly the same pattern of relationships as se...

Journal: :Journal of risk and financial management 2021

This study analyzes the relationships and dynamics between material production, foreign direct investment (FDI), economic activity, carbon productivity, stock market, green tech, both in a global European context, using panel vector autoregressive methodology (PVAR). The empirical evidence obtained for Global Group reveals four significant positive unidirectional causality relationships, where ...

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