Results 31 to 40 of about 98,361 (266)
The Efficiency of GARCH Models in Realizing Value at Risk Estimates [PDF]
ACTA VŠFS, 2020 Market risk is an important type of financial risk that is usually caused by price fluctuations in financial markets. One determinant of market risk comprises Value at Risk (VaR), which is defined as the maximum loss that can be achieved within a certain
Tomáš JEŘÁBEK
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Monetary Policy Misspecification in VAR Models [PDF]
SSRN Electronic Journal, 2000 We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance ...
Fabio Canova, Joaquim Pires Pina
openaire +4 more sources
Do VaR exceptions have seasonality? An empirical study on Indian commodity spot prices
IIMB Management Review, 2018 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 spot prices of seven commodities: aluminium, copper, gold, soyabean, guar seed, chana and ...
Apoorv Gupta, Prabina Rajib
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Measuring the Distance between Sets of ARMA Models
Econometrics, 2016 A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis.
Umberto Triacca
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Primary lung carcinomas and bronchial carcinoid tumors (BC) are very rare malignancies in childhood. While typical BC and mucoepidermoid carcinomas are mostly low‐grade, localized tumors with a more favorable prognosis than in adults, necessitating avoidance of overtreatment, adenocarcinomas of the lung are often diagnosed at advanced disease ...
Michael Abele +19 more
wiley +1 more source
INFLATION AND COMPETITIVENESS, A VAR MODELLING APPROACH [PDF]
Management & Marketing, 2010 VAR modeling in inflation forecasting has been widely used, and rather successful, even if there have been several critiques of its exactness or accuracy. This paper is structured into two sections. The first one accomplishes a general presentation of
Cosmin FRATOSTITEANU
doaj
Choosing between AR(1) and VAR(1) models in typical psychological applications.
PLoS ONE, 2020 Time series of individual subjects have become a common data type in psychological research. The Vector Autoregressive (VAR) model, which predicts each variable by all variables including itself at previous time points, has become a popular modeling ...
Fabian Dablander +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Pediatric gastroenteropancreatic neuroendocrine neoplasms (GEP‐NENs) are extremely rare and clinically heterogeneous. Management has largely been extrapolated from adult practice. This European Standard Clinical Practice Guideline (ESCP), developed by the EXPeRT network in collaboration with adult NEN experts, provides (adult) evidence ...
Michaela Kuhlen +23 more
wiley +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background PIK3CA‐related overgrowth spectrum (PROS) includes several rare overgrowth disorders resulting from somatic gain‐of‐function mutations in PIK3CA. Despite treatment advances, including the recent approval of alpelisib for PROS in the United States, literature detailing the patient experience with PROS is limited.
Vamsi Bollu +8 more
wiley +1 more source
International VaR approach: Backtesting for different capital markets
Revista Contabilidade & Finanças, 2019 This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries.
Marília Cordeiro Pinheiro +1 more
doaj +2 more sources