Results 81 to 90 of about 13,618 (198)
Ranking multivariate GARCH models by problem dimension [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Caporin, M., McAleer, M.J.
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Double EWMA‐Based Polynomial Quality Profiles Monitoring
Quality and Reliability Engineering International, 2016 Profile monitoring is useful whenever the quality is described by a relationship between a response and one or more of explanatory variables. It is conventional to refer to this relationship as Quality Profile. Despite the fact that there are numerous examples of the polynomial quality profiles in industrial practice, only few Phase II techniques are ...
Abdella, Galal M. +3 more
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Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models [PDF]
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these ...
Ekrem Kilic
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PETA KENDALI EWMA RESIDUAL PADA DATA BERAUTOKORELASI
E-Jurnal Matematika, 2019 Control charts with autocorrelation can be overcome by creating control chart with residuals from the best forecasting model. EWMA control chart is a alternative to the Shewhart control chart when detecting small shifts.
NI KADEK YUNI DEWIANTARI +2 more
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Automated financial multi-path GETS modelling [PDF]
, 2009 General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models
Escribano, Álvaro, Sucarrat, Genaro
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EWMA Chart and Measurement Error [PDF]
Measurement error is a usually met distortion factor in real-world applications that influences the outcome of a process. In this paper, we examine the effect of measurement error on the ability of the EWMA control chart to detect out-of-control ...
Maravelakis, Petros +2 more
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Evaluating multivariate volatility forecasts [PDF]
The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed.
Adam Clements +3 more
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A generalized EWMA control chart and its comparison with the optimal EWMA, CUSUM and GLR schemes
The Annals of Statistics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Han, Dong, Tsung, Fu-gee
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New Memory Type Estimators for Systematic Sampling
Journal of Advanced Research in Natural and Applied SciencesThis study aims to enhance estimation accuracy in systematic sampling by proposing a set of novel Exponentially Weighted Moving Average (EWMA)-based memory-type estimators.
Eda Gizem Koçyiğit
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