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Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
(Elsevier, 2014)
The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund ...
Modelos de algoritmos genéticos y redes neuronales en la predicción de indices bursátiles asiáticos
(2006)
This study analyzes the capacity of multivariated models constructed from genetic algorithms and artificial neural networks to predict the sign of the weekly variations of the Asian stock-market indexes Nikkei225, Hang ...
Reality check for volatility models
(Escola de Pós-Graduação em Economia da FGV, 2001-09-27)
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...
Previsão da velocidade do vento utilizando redes neurais artificiais e modelos autorregressivos
(Universidade Tecnológica Federal do ParanáCuritibaBrasilPrograma de Pós-Graduação em Sistemas de EnergiaUTFPR, 2020-11-26)
The economic and environmental benefits of wind power generation made wind energy one of the most promising sources for electric power generation in Brazil. However, the uncertainty associated with wind data, the source ...
Comparação da capacidade preditiva de modelos heterocedásticos através da estimação do value-at-risk
(Universidade Federal de Santa MariaBRAdministraçãoUFSMPrograma de Pós-Graduação em Administração, 2016-07-22)
In an increasingly competitive economic environment, as in the current global context, risk management becomes essential for the survival of companies and investment portfolio managers. Both companies and managers need to ...
Climate change and animal diseases in South America
(OFFICE INT EPIZOOTIES, 2008)
Climate strongly affects agriculture and livestock production and influences animal diseases, vectors and pathogens, and their habitat. Global warming trends predicted in the 2007 Intergovernmental Panel on Climatic Change ...
Forecasting policies for scheduling a stochastic due date job shop
(TAYLOR & FRANCIS LTD, 2000)
This work studies the problem of scheduling a production plant subject to uncertain processing times that may arise, e.g. from the variability of human labour or the possibility of machine breakdowns. The problem is modelled ...
Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during ...
Construção e validação de questionário para predição de cárie dentária em adolescentes: evidência de validade baseada no conteúdo do teste e nos processos de resposta
(Universidade Federal do Rio Grande do NorteBrasilUFRNOdontologia, 2019)