نتایج جستجو برای: var bekk model
تعداد نتایج: 2126737 فیلتر نتایج به سال:
It is well known that many countries around the world depend on the US as their major trade partner. As a result, if something does happen to US economy it surely will affect the economy of all these countries. In this study, we investigate the relationship between the US and four Asian emerging stock markets namely Hong Kong, India, South Korea and Malaysia using monthly data between 1996 and ...
با گسترش و توسعه بازارهای مالی جهانی بحث ارتباط میان بازارهای مالی ،رابطه پویای میان بازدهی ها در این بازارها و مکانیزم های انتقال نوسانات بین این بازارها هر روز بیش از پیش مورد توجه دست اندرکاران بازارهای مالی قرار گرفته است. در یک بیان کلی می توان اظهار داشت که از آنجا که یکی از مهمترین وظایف مدیران مالی، سیاستگذاران و سرمایه گذاران ، مدیریت ریسک و بحرانی است که پرتفوی آنها با آن مواجه است، ا...
Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and ...
In this paper we study the model risk of Expected Shortfall (ES), extending the results of Boucher et al. (2014) on model risk of Value-at-Risk (VaR). We propose a correction formula for ES based on passing three backtests. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using GARCH models. Furthermore, the 2.5% ES requires smaller corr...
In this study, we propose an improved fuzzy multi-objective portfolio selection model (VaR-MOPSM) with distinct risk measurements. The VaR-MOPSM can precisely evaluate the investment and increase the probability of obtaining the expected return. When building the model, fuzzy Value-at-Risk (VaR), which can directly reflect the greatest loss of a selection case under a given confidence level, is...
This paper introduces a Value-at-Risk (VaR) model to generate route choices for a hazmat shipment based on a specified risk confidence level. The objective is to determine a route which minimizes the likelihood that the risk will be greater than a set threshold. Several properties of the VaR model are established. An exact solution procedure is proposed and tested to solve the single-trip probl...
We propose a mixed-effects vector auto-regressive (ME-VAR) model for studying brain effective connectivity. One common approach to investigating inter-regional associations in brain activity is the multivariate auto-regressive (VAR) model. The standard VAR model unrealistically assumes the connectivity structure to be identical across all participants in a study and therefore, could yield misle...
In Section 3 we showed that our method can have more power to detect o-eSNPs. Here we discuss its power to detect SNPs whose functional mechanisms have non-regulatory components. For simplicity we again consider only continuous Yi, Gi, and a single SNP Si in the ordinary linear model, where the variables have all been centered. We now consider the outcome model Yi = G T i αG + αSSi + i1, where ...
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