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New EWMA control charts for monitoring process dispersion

open access: yes
There exist two EWMA-type dispersion charts for monitoring dispersion increases in the literature. One resets the EWMA statistic to zero whenever it is below zero.
Huwang, Longcheen   +2 more
core  

Optimal Hedge Ratios Estimate : Comparison Among Alternative EWMA Method

open access: yes, 2011
[[abstract]]本文的應用限制最小平方估計模型(RLS)、絕對限制制小平方估計模型(A-RLS)、在動態策略下易估計的EWMA模型、考量高峰厚尾分配的Power EWMA模型及保有EWMA與Power EWMA兩模型優點的Bias-Corrected EWMA等模型來對TAIFEX台灣加權股價指數期貨和MSCI摩根台股指數期貨進行最適避險比率的估計,期望能找出具有較高準確性的估計方法,有效的提升投資者的避險績效。 本研究除了使用動態避險的策略方式以及樣本外的觀點來進行估計外 ...
許名秀, Hsu Mimg-Hsiu
core  

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