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
Methods of identification, evaluation, treatment and monitoring of operational risk have been generalized and systematized. The methodology for decision support system of operational risk management based on Bayesian techniques has been developed.
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??????, добавлен 14.09.2016?onsidered and characteristic the process of evolution and prospects of mathematical methods and models in economic research. The prospects of the synergetic direction as a basic direction in modern economic and mathematical modeling are revealed.
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??????, добавлен 28.09.2016The formation of the decision support system in the field of regional development management have been considered. Different approaches in the framework of integration into the structure of adaptive simulation models of problem-oriented knowledge bases.
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??????, добавлен 29.01.2016????, ?????????????? ? ????????????? ??????? ??????. ??????? ???????????? ??????????. ????? ???????????? ?????? ????????? ??????????? ?????? ? ????????????? ?????????? ??? ?????????. ?????????????? ????????????? ??????????? ???????????? ????? ?????????.
???????? ??????, добавлен 15.05.2017????? ??????? ???????? ??? ???????? ??????? ? ?????????. ?????????? ? ???????????????? ?????? ????????????? ????????????? ??????? ? ?????? Statistica ? ?????? Multiple Regression. ?????? ?????????? ?????? ? ?? ???????????. ???????? ?? ????????????.
???????? ??????, добавлен 03.06.2014????? ?????? ??? ???????? ????????? ????? ? ?????? ??????????? ?????? ? ??????? ???????? ????????. ?????????? ?????????? ??? ???????? ????????? ?????, ?????????? ?? ??????? "Rolling forecasting origin" ? ?? ?????????? ? ????? ???????????????? Python.
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??????, добавлен 10.12.2024The tools application in the areas: quantitative measures of nonlinear dynamics, Monte-Carlo statistical hypothesis testing, nonlinear modeling. The method of surrogate data. Estimation of correlation dimension. Times series embedding and reconstruction.
?????, добавлен 25.11.2013Value at Risk (VaR) ?? ???? ? ???????? ??????????, ?? ???????????????? ? ?????????? ????????. ??????? ?????????? VaR ? ????????????? ?????????? ????????? ?? ???????. ?????????? ?????? ?????? ?????? ?? ???????? ??????? ?? ???????? ?????? ??? ?? ?????.
??????, добавлен 28.02.2017????????????? VaR ? ?????? ??????? ??????????????. ?????? ?????????????? ? ??????? ??? ?????????. ????????????? ?????? ???????? ??????. ??????????? ??????? ? ??????????? ????????? ???????. ???????? ?????? ????????????? ????????????? ? ???????????????.
???????? ??????, добавлен 16.09.2018??????? ????????????? ??????? ????????? ????????? ?????? ??? ??????????? ?????????? ???????? ?? ?????????? ???????? ??????? ?? ?????? ????????? ?????????? ???????. ???????????? ?????? ????????? ???????? Value-at-Risk. ???????? ?????? ? ????? ????? ??????.
??????, добавлен 21.06.2016The most effective model to evaluate the enterprise innovative capacity subject to an uncertainty factor is the model based on the fuzzy sets theory. The model has obvious advantages in comparison with the expert and statistical methods of evaluation.
??????, добавлен 28.09.2016