Sökning: "EWMA"

Visar resultat 21 - 25 av 39 uppsatser innehållade ordet EWMA.

  1. 21. Volatility Forecasting in Bull & Bear Markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Karl Oskar Ekvall; [2012-07-25]
    Nyckelord :;

    Sammanfattning : This thesis considers the performance of variance forecasting in bull and bear markets. Three asset indices, the DAX, the Standard & Poor’s 500 and the CurrencyShares Euro Trust, are split into bull and bear periods whereby variance forecasting is evaluated in the two states. LÄS MER

  3. 22. Measuring Portfolio Value at Risk

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Chao Xu; Huigeng Chen; [2012]
    Nyckelord :Multivariate Value at Risk; portfolio risk measures; Copula; Monte Carlo simulation; DCC-GARCH; multivariate EWMA; Christoffersen test; quadratic probability score; root mean squared error; R software.; Business and Economics;

    Sammanfattning : On estimating portfolio Value at Risk, the application of traditional univariate VaR models is limited. Under specific circumstance, the VaR estimation could be inadequate. Facing the financial crises and increasing uncertainty in financial markets, effective multivariate VaR models have become crucial. LÄS MER

  4. 23. Industrin och SPS : Möjligheter utifrån människa, teknik och organisation

    Master-uppsats, Kvalitetsteknik; Tekniska högskolan

    Författare :Dennis Andersson; Victor Andersson; [2012]
    Nyckelord :SPS; processtyrning; kvalitetsledning;

    Sammanfattning : Detta examensarbete utförs i samarbete med företaget Järn AB, vilket är ett svenskt företag med gjuteri, pulvermetallurgi samt bearbetningsverksamhet. Produkterna är av varierande typ, storlek och volym, avsedd för ett brett kundsegment däribland fordonsindustrin samt maskintillverkare. LÄS MER

  5. 24. Downside Risk Measurement of Thailand Equity Mutual Funds

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Hulda Sigmundsdóttir; Ploenpit Udomsapsanti; [2011]
    Nyckelord :Value at Risk; equity mutual funds; Thailand; student-t distribution; log-normal distribution; EWMA; volatility weighted historical; GARCH 1; 1 ; historical simulation; backtesting; Bernoulli; Kupiec; Christoffersen.; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Abstract Value at Risk (VaR) is a simple, transparent and consistent measure that summarizes all sources of downside risk. VaR has gained acceptance in the banking industry in accordance to Basel II rules which require banks to use VaR in calculations of market risk. VaR as a risk measure is not as widely accepted in the investment industry. LÄS MER

  7. 25. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

    Magister-uppsats, Avdelningen för ekonomi

    Författare :Khadar Ali Mohamed; [2011]
    Nyckelord :Value at Risk VaR ; Normaldistribution; Student t-distribution; Expected exception; Failure rate;

    Sammanfattning : The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. LÄS MER