Volatility estimators
Pre-crisis, post-crisis windows definition. Bipower variation and jumps. Models for volatility forecasting. Forecast comparison. Value at risk estimation. Statistics on volatility estimators. Regression estimations. Forecast results of standalone models.
Подобные документы
The impact of futures indexes introduction on the volatility and market efficiency of the underlying assets. Investigation of the hedging of the futures. Relationship between the real estate U.S. futures index and American, European and Australian.
дипломная работа, добавлен 29.11.2015The econometric models of goods export from Ukraine and the import to Ukraine in general, their seasonal and trend components are considered. The forecast of investigated indices for III and IV quarters of 2013 is made based on these constructed models.
статья, добавлен 28.09.2016The problem of studying the relationship of economic indicators in economic analysis. Construction of an econometric model of the ratio of the exchange rate of tenge to the ruble and the possibility of using it to forecast real economic processes.
статья, добавлен 23.06.2020Ideas of vanguard investigators about applying probability models and applications (stochastic processes and inference, distributions and characterizations, Bayesian inference, selection methods, regression methods) in health and economic research.
книга, добавлен 25.11.2013The significance of these results is the possibility of increasing the accuracy of the forecast of exchange rates on the Internet market by using advanced mathematical apparatus, based on the set of factors affecting the fluctuations of exchange rates.
статья, добавлен 30.07.2016Business statistics, mathematics, probability, models, and the real world. The use of statistics in business. Two ways of being wrong. Three Types of Probability. Counting possible outcomes: the rule of insufficient reason for classical probability.
книга, добавлен 25.11.2013Discuss a number of procedures that are designed for testing the specification of econometric models, concerned with the numerical properties of these OLS estimates and refer to certain properties of estimates as "numerical" if they have nothing to do.
монография, добавлен 08.03.2014Econometric approaches to modeling censored demand - a tool that is used to obtain consistent and unbiased parameter estimates. The neglect of censored data when building a forecast - a significant lack of demand analysis by machine learning methods.
дипломная работа, добавлен 23.09.2018The analysis of modern approaches to forecasting of innovative development. The building of the predictive models in economic systems. The use of methodology of overcoming of temporal gap for calculating the extremum points of cycles of reproduction.
статья, добавлен 26.08.2016Research a number of econometric models of the relationships between regional macroeconomic indicators of the labour market of Ukrainian economy. Evaluation of the developed models, the degree of influence factors, statistical analysis of the results.
статья, добавлен 14.08.2016Effective forecasting of the economy - one of the most urgent scientific, political and social problems. Presenting several scenarios of forecasts considering different changes in separate parameters like the crucial functions of economic modeling.
статья, добавлен 23.04.2021This study is intended the major issues of applying econometric and machine learning techniques to a daily demand prediction problem. The purpose of the paper is going to be achieved via the models’ predictive power comparison on bakery retail chain data.
дипломная работа, добавлен 14.07.2020Data Analysis and Model-Building Basics, making Predictions by Using Regression. Comparing Many Means with ANOVA. Building Strong Connections with Chi-Square Tests, rebels without a Distribution. Ten Errors in Statistical Conclusions, Practice Problems.
учебное пособие, добавлен 09.04.2013The models for calculating the number of buses of different types depending on the variable passenger time and a specified interval of vehicles. The analysis of the influence of the speed of vehicles on the total costs of motor transport enterprises.
статья, добавлен 26.06.2016Identification of substantial changes in autocorrelation of BRICs’ stock markets index returns after experiencing these failures of financial systems in Russia, Brazil and Chinese. Testing for structural breaks in an ARMA-GARCH-model on the crisis dates.
статья, добавлен 28.01.2017Carrying out of econometric analysis by means of panel data models of the volume of innovative goods, works and services in the Russian Federation. The dependence on the number of personnel involved in scientific research and the internal expenses.
статья, добавлен 30.07.2017The likelihood ratio test is a test used to compare the fit of two models, one of which is a special case of the other. The test is based on the likelihood ratio, which expresses how many times more likely the data are under one model than the other.
статья, добавлен 10.09.2012The development of understanding the least squares and related statistical methods without becoming excessively mathematical. The review of key concepts in simple linear regression, matrix operations, and multiple regression. Geometric interpretations.
книга, добавлен 25.11.2013Study of algorithms of processing of nonlinear signal. The definition of the Gaussian model of normal random variables. The distribution of order statistics. The absolute value of the deviation of the weighted median. A balanced set of calculations.
книга, добавлен 25.11.2013Measurement of potential losses in the value of the asset VaR. Approaches that are used to compute Value at Risk: the variance-covariance approach, the historical and the Monte Carlo simulations. Risk assessment value at risk as a qualitative tool.
эссе, добавлен 29.05.2014Transition from linear to non-linear knowledge. Strengthening structural dysfunctions of complex social and man-made natural systems. Forms of "collateral damage". Reliable knowledge of complex risks and vulnerabilities based on better futures models.
статья, добавлен 04.03.2021- 22. Modelling of special warning indicators for banking crises: the evidence from developing economies
General comparison of signaling and econometric approaches, arguments for and against each of methods to predict a banking collapse. Econometric approach of banking crises' modelling. Fitting the prediction model for banking crisis 2008-2009 in Russia.
дипломная работа, добавлен 28.08.2016 The potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. Historical and Monte Carlo Simulation. Value at Risk as a risk assessment tool at banks and other financial service firms in the last decade.
эссе, добавлен 25.02.2014Principles of functioning of small oil and gas enterprises in Russia. The main characteristics and socio-economic tasks performed by small oil and gas enterprises. Forecast calculations of the dynamics of hydrocarbon raw materials for the planning period.
статья, добавлен 26.06.2018In this study problem of short-term forecasting for coal and crude oil production in Ukraine. Autoregressive and optimal filtering algorithm for linear systems based upon autoregressive model of second order were constructed for short term forecasting.
статья, добавлен 29.07.2016