In this study, the RiskMetrics method is used to estimate Value at Risk for two exchange rates: BitCoin/dollar and South African Rand/dollar. compare riskiness of currencies. This help Africans investors understand risk they are taking by converting their savings/investments BitCoin instead currency, Rand. The Maximum Likelihood Estimation parameters models. Seven statistical error distribution...

Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed. These have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations. They are not linear but can often be esti...

Railroad hazardous materials transportation route risk analysis is receiving considerable new attention from industry and government. Such analyses are necessary for effective public policy and development of rational risk management strategies. However, route risk analysis is complex and generates results that can be difficult to properly interpret. Risk analyses are intended to provide risk m...

هدف: هدف از این پژوهش بررسی واسطه‌­ای راهبردهای سازش نایافته تنظیم شناختی هیجان در رابطه باورهای فراشناختی با اضطراب امتحان بود. روش: روش حاضر توصیفی و نوع همبستگی جامعه آماری را کلیه دانش‌­آموزان پسر دوره دوم متوسطه شهر تهران سال تحصیلی 1401-1400 تشکیل دادند که تعداد 456 نفر به نمونه‏‌گیری دسترس انتخاب شرکت کردند. ابزارها شامل سیاهه ابوالقاسمی همکاران (1375)، پرسشنامه باکو دیگران (2009)، فرم ک...

In this paper we compare different approaches to compute VaR for heavy tailed return series. Using data from the Italian market, we show that almost all the return series present statistically significant skewness and kurtosis. We implement (i) the stable models proposed by Rachev et al. (2000), (ii) an alternative to the Gaussian distributions based on a Generalized Error Distribution , (iii) ...

We present a stochastic optimal control model to optimize gas network inventories in the face of system uncertainties. The model captures detailed network dynamics and operational constraints and uses a weighted risk-mean objective. We perform a degrees-of-freedom analysis to assess operational flexibility and to determine conditions for model consistency. We compare the control policies obtain...

In this paper, the performance of RiskMetrics model for prediction of 1-day and 10-days value at risk were preceded in three confidence levels of 95%, 97.5% and 99%.The main data are TEDPIX Index that their fluctuations can be indicated market risk of Tehran Stock Exchange. Time series of this index has been applied from 21 March 2001 to 20 March 2010 with the total 2172 observations. As well, ...

هدف: این پژوهش با هدف بررسی اثر آموزش برنامه هوش موفق استرنبرگ بر افزایش خلاقیت و تحمل ابهام دانش‌­آموزان انجام شد. روش: روش ­آزمایشی طرح پیش ­آزمون پس پیگیری گروه کنترل بود. جامعۀ آماری را 15842 نفر ازدانش‌­آموزان پسر کلاس چهارم در سال تحصیلی1399-1400 شهر اصفهان تشکیل دادند که30 نمونه‌­گیری تصادفی چند مرحله­‌ای انتخاب به صورت دو آزمایش (15 نفر) گمارده شدند. ده جلسه برنامه‌­ی دریافت نمود. داده­...