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INZINERINE EKONOMIKA-ENGINEERING ECONOMICS, ISSN 1392-2785, 2019, Volume 30, Issue 1, pp. 32 - 40
Traditionally standard deviation has been considered as the main risk measure of an asset portfolio. The relevance of VaR analysis is widely recognized as an... 
Russian Stock Market | EWMA Var | Semi-Parametric VaR | RISK | Value-at-Risk (VaR) | VaR Specification | ECONOMICS | Backtesting | Risk Modeling | Volatility Adjusted VaR | Stock exchanges | Volatility | Securities markets
Journal Article
IIMB Management Review, ISSN 0970-3896, 12/2018, Volume 30, Issue 4, pp. 369 - 384
This paper compares three models namely RiskMetrics's EWMA, ARMA-GARCH and APARCH with normal and Student's t-distribution. These models have been applied to... 
Commodity seasonality | GARCH | Commodity spot prices | APARCH | VaR | RiskMetrics's EWMA | Usage | Spot market | Analysis | Risk assessment | Models | Forecasts and trends | Commodity price indexes
Journal Article
经济数学, ISSN 1007-1660, 2016, Volume 33, Issue 4, pp. 69 - 74
Journal Article
응용통계연구, ISSN 1225-066X, 2013, Volume 26, Issue 3, p. 471
J. P. Morgan의 RiskMetrics을 기반으로 하는 현행 VaR 모형은 구조적으로 미래 경기상황을 반영할 수 없는 단점으로 인해 불안정한 경기상황에서는 손실이 VaR을 초과하는 결정적인 문제점을 내포하고 있다. 어느 기업의 미래의 주가는 해당 기업만의 고유요인은 물론 모든... 
일반화 위너확률과정 | VaR | EWMA | 원-팩터 모형 | GARCH | continuously-compounded return | 연속복리수익률 | Generalized Wiener stochastic process | One-factor Model
Journal Article
South East European Journal of Economics and Business, ISSN 1840-118X, 2008, Volume 3, Issue 1, pp. 23 - 33
This paper examines whether VaR models that are created and suited for developed and liquid markets apply to the volatile and shallow financial markets of EU... 
Historical simulation | BRW | EWMA | VaR | ARCH | VCV | GARCH
Journal Article
Energies, ISSN 1996-1073, 2016, Volume 9, Issue 11, pp. 931 - 931
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 04/2016, Volume 32, Issue 2, pp. 293 - 302
We present a simple methodology for modeling the time variation in volatilities and other higher-order moments using a recursive updating scheme that is... 
Dynamic volatilities | Value-at-Risk (VaR) | Integrated generalized autoregressive score models | Exponentially Weighted Moving Average (EWMA) | Dynamic higher-order moments
Journal Article
Risks, ISSN 2227-9091, 08/2017, Volume 5, Issue 3, p. 45
In this work, we focus on volatility estimation which plays a crucial role in risk analysis and management. In order to improve value at risk (VaR) forecasts,... 
Estimating techniques | Economic theory | Stock exchanges | Risk management | Volatility | APARCH | violation ratios | low price effect | backtesting | EWMA | VaR | FIGARCH | ARCH | leverage effect | GARCH
Journal Article
商业研究, ISSN 1001-148X, 2004, Issue 5, pp. 3 - 5
原料采购是一个极富变化的系统工程,在分析其价格风险的基础上,介绍VaR模型及其参数的EWMA方法估计,并把它应用于企业采购过程中的风险定量分析。最后做实证分析,以说明该方法的有效性,为制定科学的采购策略提供新思路。 
采购策略 | 企业 | 原料采购 | VaR模型 | 采购风险 | EWMA方法 | 风险控制
Journal Article
数理统计与管理, ISSN 1002-1566, 2015, Volume 34, Issue 4, pp. 750 - 760
Journal Article
Energy Economics, ISSN 0140-9883, 2010, Volume 32, Issue 2, pp. 423 - 431
Journal Article
Computational Statistics, ISSN 0943-4062, 12/2012, Volume 27, Issue 4, pp. 685 - 700
Journal Article
01/2012, ISBN 9781118550342, 14
This chapter discusses some advanced VaR models developed in academia in the last decade. They are interesting and promising, and are selected to give the... 
hsVaR | VaR | EWMA | risk measure | risk metric
Book Chapter
International Research Journal of Finance and Economics, ISSN 1450-2887, 01/2009, Volume 1, Issue 23, pp. 216 - 230
Journal Article
商, ISSN 1006-0510, 2013, Issue 1Z, pp. 149 - 150
在险价值(VaR)是国外近年来兴起的一种风险管理工具,目前被全球主要的银行、公司及金融监管机构接受为最重要的金融风险管理方法之一。本文运用EWMA模型和GARCH模型分别对个股(中国石油)的VaR值进行计算,并将两种模型下的VaR值与实际损失进行比较。最后发现GARCH模型下的VaR值更优。 
GARCH模型 | VaR | EWMA模型
Journal Article
12/2013, Volume 18, Issue 2
Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial... 
risk management | backtesting | VaR | SMA | EWMA | market risk
Web Resource
by 肖宁
现代经济信息, ISSN 1001-828X, 2011, Issue 20, pp. 250 - 250
Journal Article
统计与决策, ISSN 1002-6487, 2009, Issue 13, pp. 65 - 68
Journal Article
2010 Third International Symposium on Information Processing, 10/2010, pp. 6 - 8
Value at Risk (VaR) is a commonly statistical tool to measure market risk. In this paper, a mixture method of APGARCH-M model and EWMA algorithm is applied to... 
Correlation | Biological system modeling | APGARCH-M model | portfolio | Clustering algorithms | VaR | EWMA algorithm | Indexes | Risk management | Portfolios | Consumer electronics | Portfolio
Conference Proceeding
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