Results 101 to 110 of about 13,618 (198)
This paper provides an empirical study of the effectiveness of hedging the spider, a passive exchange traded fund (ETF) that replicates the S&P500 index.
Andreza Barbosa, Carol Alexander
core
BBR: Brazilian Business Review, 2007 Este artigo explora três modelos utilizados para a estimativa da volatilidade: suavização exponencial - EWMA, volatilidade condicional - GARCH e volatilidade estocástica - VE. A volatilidade estimada por estes modelos pode ser utilizada em uma métrica de
Fernando Caio Galdi +1 more
doaj
Structural breaks and financial risk management [PDF]
There is ample empirical evidence on the presence of structural changes in financial time series. Structural breaks are also shown to contribute to the leptokurtosis of financial returns and explain at least partly the observed persistence of volatility ...
Marianna Valentinyi-Endrész
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On Collaborative Predictive Blacklisting
, 2018 Collaborative predictive blacklisting (CPB) allows to forecast future attack sources based on logs and alerts contributed by multiple organizations. Unfortunately, however, research on CPB has only focused on increasing the number of predicted attacks ...
De Cristofaro, Emiliano +2 more
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Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds [PDF]
This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures. Using daily data from May 2000 to December 2004 on the four largest passive ETFs (the Spider, the Diamond, the Cubes and the Russell ...
Andreza Barbosa, Carol Alexander
core
Forex Risk: Measurement and Evaluation using Value-at-Risk [PDF]
Over the past decade the growth of trading activity in financial markets, numerous instances of financial instability, and a number of widely publicised losses on banks' trading books have resulted in a re-analysis of the risks faced, and how they are ...
Bredin, Don, Hyde, Stuart
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PLoS ONEThis study aims to develop a nonparametric mixed exponentially weighted moving average-moving average (NPEWMA-MA) sign control chart for monitoring shifts in process location, particularly when the distribution of a critical quality characteristic is ...
Muhammad Ali Raza +5 more
doaj +1 more source
Fault Diagnosis Strategy based on EWMA-BN for Chillers
Zhileng xuebao, 2019 To improve the accuracy of fault diagnosis for chillers, a fault diagnosis strategy based on an exponentially weighted moving average (EWMA) and Bayesian network (BN) is proposed in this study.
Shang Pengtao +4 more
doaj
Statistical process control for real-time monitoring in clinical psychology: State of the art and future research agenda. [PDF]
Neurosci ApplSchat E, Schreuder MJ, Ceulemans E.
europepmc +1 more source
Comparison of EWMA, MA, and MQ Under a Unified PBRTQC Framework for Thyroid and Coagulation Tests. [PDF]
Diagnostics (Basel)Zhaxi B +6 more
europepmc +1 more source