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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 ...
Comparing conditional and stochastic volatility models: goodness of fit, forecasting and value-at-risk
(Universidade Federal de Minas GeraisUFMG, 2016-02-19)
In this work a comparison of three families of volatility models, namely the Autoregressive Conditional Heteroskedasticity (ARCH), Stochastic Volatility (SV) and Non-Gaussian State Space Models (NGSSM) is made according ...
Utilização de contratos futuros do Ibovespa em carteiras de fundos de pensão no Brasil: uma abordagem setorial
(Revista de Ciências da Administração, 2018)
Assessing value-at-risk and expected shortfall predictionsTestes para avaliação das previsões de value-at-risk e expected shortfall
(Lociedade Brasileira de Finanças, 2019)
Aplicação da moderna teoria do Portfólio em ativos não financeiros
(Universidade Estadual Paulista (UNESP), 2015)
Aplicação da moderna teoria do Portfólio em ativos não financeiros
(Universidade Estadual Paulista (Unesp), 2015)
The optimal harvesting problem under price uncertainty: the risk averse case.
We study the exploitation of a one species, multiple stand forest plantation when timber price is governed by a stochastic process. Our model is a stochastic dynamic program with a weighted mean-risk objective function, ...
Risk management for forestry planning under uncertainty in demand and prices
(Elsevier, 2018)
The paper presents and compares approaches for controlling forest companies' risk associated with advance planning under variable future timber prices and demand. Decisions to be made in advance are which stands to cut and ...