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Universidade Nova

1.
Peixoto, Carla Sofia Nobre.
What is the value of value-at-risk after all?: A *conditional* approach using quantile regressions.

Degree: 2009, Universidade Nova

URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

►

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business… (more)

Subjects/Keywords: Value-at-risk; Conditional approach; Quantile regression; Out-of-sample forecasting

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Peixoto, C. S. N. (2009). What is the value of value-at-risk after all?: A conditional approach using quantile regressions. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Thesis, Universidade Nova. Accessed December 14, 2019. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Web. 14 Dec 2019.

Vancouver:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Internet] [Thesis]. Universidade Nova; 2009. [cited 2019 Dec 14]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Thesis]. Universidade Nova; 2009. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

2.
Hartman, Joel.
*Forecasting**Conditional* Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.

Degree: Economics, 2013, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

► The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the…
(more)

Subjects/Keywords: multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hartman, J. (2013). Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Web. 14 Dec 2019.

Vancouver:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Internet] [Thesis]. Uppsala University; 2013. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Thesis]. Uppsala University; 2013. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

3. Nybrant, Arvid. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.

Degree: Statistics, 2018, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

► Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to…
(more)

Subjects/Keywords: VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Nybrant, A. (2018). Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Web. 14 Dec 2019.

Vancouver:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Internet] [Thesis]. Uppsala University; 2018. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

4. Enocksson, David. Evaluating VaR with the ARCH/GARCH Family.

Degree: Statistics, 2012, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

► The aim of the thesis is to identify an appropriate model in *forecasting* Value-at-Risk on a morevolatile period than that one from which the…
(more)

Subjects/Keywords: Value-at-Risk; ARCH; GARCH; GJR-GARCH; Exchange rates; Conditional Variance; Volatility Forecasting

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Enocksson, D. (2012). Evaluating VaR with the ARCH/GARCH Family. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Web. 14 Dec 2019.

Vancouver:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Internet] [Thesis]. Uppsala University; 2012. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Thesis]. Uppsala University; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

5. Boman, Victor. A comparison of multivariate GARCH models with respect to Value at Risk.

Degree: Statistics, 2019, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

► Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares…
(more)

Subjects/Keywords: multivariate GARCH; Value at Risk; forecasting; conditional correlation; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Boman, V. (2019). A comparison of multivariate GARCH models with respect to Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Web. 14 Dec 2019.

Vancouver:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Internet] [Thesis]. Uppsala University; 2019. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Thesis]. Uppsala University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Not specified: Masters Thesis or Doctoral Dissertation

Clemson University

6. Rechard, Kyle Lance. Essays on Monetary Policy and Bitcoin Financial Economics.

Degree: PhD, Economics, 2019, Clemson University

URL: https://tigerprints.clemson.edu/all_dissertations/2367

► This dissertation includes three chapters. The first chapter investigates the impact of the Federal Reserve’s balance sheet normalization using a Bayesian vector autoregression (BVAR)…
(more)

Subjects/Keywords: Bayesian SVAR; Bitcoin realized volatility; Conditional Forecasting; Monetary Policy Regimes; Taylor Rule; Unconventional Monetary Policy

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Rechard, K. L. (2019). Essays on Monetary Policy and Bitcoin Financial Economics. (Doctoral Dissertation). Clemson University. Retrieved from https://tigerprints.clemson.edu/all_dissertations/2367

Chicago Manual of Style (16^{th} Edition):

Rechard, Kyle Lance. “Essays on Monetary Policy and Bitcoin Financial Economics.” 2019. Doctoral Dissertation, Clemson University. Accessed December 14, 2019. https://tigerprints.clemson.edu/all_dissertations/2367.

MLA Handbook (7^{th} Edition):

Rechard, Kyle Lance. “Essays on Monetary Policy and Bitcoin Financial Economics.” 2019. Web. 14 Dec 2019.

Vancouver:

Rechard KL. Essays on Monetary Policy and Bitcoin Financial Economics. [Internet] [Doctoral dissertation]. Clemson University; 2019. [cited 2019 Dec 14]. Available from: https://tigerprints.clemson.edu/all_dissertations/2367.

Council of Science Editors:

Rechard KL. Essays on Monetary Policy and Bitcoin Financial Economics. [Doctoral Dissertation]. Clemson University; 2019. Available from: https://tigerprints.clemson.edu/all_dissertations/2367

University of Oxford

7.
Arora, Siddharth.
Time series *forecasting* with applications in macroeconomics and energy.

Degree: PhD, 2013, University of Oxford

URL: http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639

► The aim of this study is to develop novel *forecasting* methodologies. The applications of our proposed models lie in two different areas: macroeconomics and energy.…
(more)

Subjects/Keywords: Forecasting; Nonlinear and nonparametric methodologies; Time series analysis; Energy modelling; Short-term load forecasting; Rule-based forecasting; Conditional kernel density estimation; Probabilistic modelling

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Arora, S. (2013). Time series forecasting with applications in macroeconomics and energy. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639

Chicago Manual of Style (16^{th} Edition):

Arora, Siddharth. “Time series forecasting with applications in macroeconomics and energy.” 2013. Doctoral Dissertation, University of Oxford. Accessed December 14, 2019. http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639.

MLA Handbook (7^{th} Edition):

Arora, Siddharth. “Time series forecasting with applications in macroeconomics and energy.” 2013. Web. 14 Dec 2019.

Vancouver:

Arora S. Time series forecasting with applications in macroeconomics and energy. [Internet] [Doctoral dissertation]. University of Oxford; 2013. [cited 2019 Dec 14]. Available from: http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639.

Council of Science Editors:

Arora S. Time series forecasting with applications in macroeconomics and energy. [Doctoral Dissertation]. University of Oxford; 2013. Available from: http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639

University of Western Australia

8. Hakim, Abdul. Modelling the interactions across international stock, bond and foreign exchange markets.

Degree: PhD, 2009, University of Western Australia

URL: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01

►

[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction… (more)

Subjects/Keywords: Portfolio management; Stock price forecasting; Risk management; Volatility spillover; Value at Risk forecast; Dynamic conditional correlation forecast; GARCH; Emerging stock bond market

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hakim, A. (2009). Modelling the interactions across international stock, bond and foreign exchange markets. (Doctoral Dissertation). University of Western Australia. Retrieved from http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01

Chicago Manual of Style (16^{th} Edition):

Hakim, Abdul. “Modelling the interactions across international stock, bond and foreign exchange markets.” 2009. Doctoral Dissertation, University of Western Australia. Accessed December 14, 2019. http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01.

MLA Handbook (7^{th} Edition):

Hakim, Abdul. “Modelling the interactions across international stock, bond and foreign exchange markets.” 2009. Web. 14 Dec 2019.

Vancouver:

Hakim A. Modelling the interactions across international stock, bond and foreign exchange markets. [Internet] [Doctoral dissertation]. University of Western Australia; 2009. [cited 2019 Dec 14]. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01.

Council of Science Editors:

Hakim A. Modelling the interactions across international stock, bond and foreign exchange markets. [Doctoral Dissertation]. University of Western Australia; 2009. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01

University of Newcastle

9. Qin, Juan. A high-resolution hierarchical model for space-time rainfall.

Degree: PhD, 2011, University of Newcastle

URL: http://hdl.handle.net/1959.13/808076

►

Research Doctorate - Doctor of Philosophy (PhD)

The hydrologic response of urban catchments is sensitive to small scale space-time rainfall variations. A stochastic space-time rainfall… (more)

Subjects/Keywords: stochastic space-time rainfall; high-resolution; hierarchical framework; conditional simulation; latent Gaussian random field; Toeplitz block circulant technique; generalized method-of-moments approach; parametric bootstrap; short-term forecasting

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Qin, J. (2011). A high-resolution hierarchical model for space-time rainfall. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/808076

Chicago Manual of Style (16^{th} Edition):

Qin, Juan. “A high-resolution hierarchical model for space-time rainfall.” 2011. Doctoral Dissertation, University of Newcastle. Accessed December 14, 2019. http://hdl.handle.net/1959.13/808076.

MLA Handbook (7^{th} Edition):

Qin, Juan. “A high-resolution hierarchical model for space-time rainfall.” 2011. Web. 14 Dec 2019.

Vancouver:

Qin J. A high-resolution hierarchical model for space-time rainfall. [Internet] [Doctoral dissertation]. University of Newcastle; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1959.13/808076.

Council of Science Editors:

Qin J. A high-resolution hierarchical model for space-time rainfall. [Doctoral Dissertation]. University of Newcastle; 2011. Available from: http://hdl.handle.net/1959.13/808076

Uppsala University

10.
Andersson-Säll, Tim.
A STUDY ON THE DCC-GARCH MODEL’S *FORECASTING* ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.

Degree: Statistics, 2019, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201

► This thesis has treated the *subject* of DCC-GARCH model’s *forecasting* ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models…
(more)

Subjects/Keywords: Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Andersson-Säll, T. (2019). A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Andersson-Säll, Tim. “A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.” 2019. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Andersson-Säll, Tim. “A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.” 2019. Web. 14 Dec 2019.

Vancouver:

Andersson-Säll T. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. [Internet] [Thesis]. Uppsala University; 2019. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Andersson-Säll T. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. [Thesis]. Uppsala University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201

Not specified: Masters Thesis or Doctoral Dissertation

Pontifical Catholic University of Rio de Janeiro

11. DAIANE MARCOLINO DE MATTOS. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

URL: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773

►

[pt] O objetivo da dissertação é apresentar uma nova medida de núcleo de inflação para o Brasil com o intuito de verificar a tendência atual… (more)

Subjects/Keywords: [pt] PREVISAO; [en] FORECASTING; [pt] NUCLEO DA INFLACAO; [en] CORE INFLATION; [pt] TENDENCIA DA INFLACAO; [en] TREND INFLATION; [pt] DYNAMIC CONDITIONAL SCORE MODELS; [en] DYNAMIC CONDITIONAL SCORE MODELS; [pt] GENERALIZED AUTOREGRESSIVE SCORE MODELS; [en] GENERALIZED AUTOREGRESSIVE SCORE MODELS

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

MATTOS, D. M. D. (2018). [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

MATTOS, DAIANE MARCOLINO DE. “[en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed December 14, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

MATTOS, DAIANE MARCOLINO DE. “[en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.” 2018. Web. 14 Dec 2019.

Vancouver:

MATTOS DMD. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Dec 14]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

MATTOS DMD. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773

Not specified: Masters Thesis or Doctoral Dissertation

Pontifical Catholic University of Rio de Janeiro

12.
SORAIDA AGUILAR VARGAS.
[en] *FORECASTING* PROBABILISTIC DENSITY DISTRIBUTION OF WIND
POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.

Degree: 2016, Pontifical Catholic University of Rio de Janeiro

URL: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821

►

[pt] Como resultado do processo de contração de novos Leilões de energia eólica e a entrada em operação de novos parques eólicos ao sistema elétrico… (more)

Subjects/Keywords: [pt] PREVISAO; [en] FORECASTING; [pt] ENERGIA EOLICA; [en] WIND ENERGY; [pt] VELOCIDADE DE VENTO; [pt] PREVISAO PROBABILISTICA; [en] PROBABILISTIC FORECASTING; [pt] ANALISE ESPECTRAL SINGULAR; [en] SINGULAR SPECTRUM ANALYSIS; [pt] ESTIMACAO CONDICIONAL DE NUCLEO; [en] CONDITIONAL KERNEL ESTIMATION

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

VARGAS, S. A. (2016). [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

VARGAS, SORAIDA AGUILAR. “[en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.” 2016. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed December 14, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

VARGAS, SORAIDA AGUILAR. “[en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.” 2016. Web. 14 Dec 2019.

Vancouver:

VARGAS SA. [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. [cited 2019 Dec 14]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

VARGAS SA. [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821

Not specified: Masters Thesis or Doctoral Dissertation

University of California – San Diego

13. Chalak, Karim Marwan. Essays on the definition, identification, and estimation of causal effects.

Degree: 2007, University of California – San Diego

URL: http://www.escholarship.org/uc/item/66t7m0cd

► This dissertation studies the definition, identification, and estimation of causal effects within the settable system framework of White and Chalak. Chapter 1 provides definitions of…
(more)

Subjects/Keywords: Econometric models Economic aspects Causation; Mathematical models Economic forecasting; Econometric models Conditional expectations (Mathematics); Estimation theory

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Chalak, K. M. (2007). Essays on the definition, identification, and estimation of causal effects. (Thesis). University of California – San Diego. Retrieved from http://www.escholarship.org/uc/item/66t7m0cd

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Chalak, Karim Marwan. “Essays on the definition, identification, and estimation of causal effects.” 2007. Thesis, University of California – San Diego. Accessed December 14, 2019. http://www.escholarship.org/uc/item/66t7m0cd.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Chalak, Karim Marwan. “Essays on the definition, identification, and estimation of causal effects.” 2007. Web. 14 Dec 2019.

Vancouver:

Chalak KM. Essays on the definition, identification, and estimation of causal effects. [Internet] [Thesis]. University of California – San Diego; 2007. [cited 2019 Dec 14]. Available from: http://www.escholarship.org/uc/item/66t7m0cd.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chalak KM. Essays on the definition, identification, and estimation of causal effects. [Thesis]. University of California – San Diego; 2007. Available from: http://www.escholarship.org/uc/item/66t7m0cd

Not specified: Masters Thesis or Doctoral Dissertation

Università Cattolica del Sacro Cuore

14. DELLA NOCE, MATTEO. Un modello VAR-GARCH multivariato per il mercato elettrico italiano.

Degree: 2011, Università Cattolica del Sacro Cuore

URL: http://hdl.handle.net/10280/1108

►

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere… (more)

Subjects/Keywords: SECS-S/03: STATISTICA ECONOMICA; SECS-P/05: ECONOMETRIA; SECS-P/02: POLITICA ECONOMICA; Electricity spot prices, Forecasting, Multivariate GARCH models, Conditional volatility, Impulse response functions, Integration of energy markets, Prezzi elettrici spot, Previsioni, Modelli GARCH multivariati, Volatilità condizionata, Integrazione dei mercati dell'energia

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

DELLA NOCE, M. (2011). Un modello VAR-GARCH multivariato per il mercato elettrico italiano. (Doctoral Dissertation). Università Cattolica del Sacro Cuore. Retrieved from http://hdl.handle.net/10280/1108

Chicago Manual of Style (16^{th} Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Doctoral Dissertation, Università Cattolica del Sacro Cuore. Accessed December 14, 2019. http://hdl.handle.net/10280/1108.

MLA Handbook (7^{th} Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Web. 14 Dec 2019.

Vancouver:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Internet] [Doctoral dissertation]. Università Cattolica del Sacro Cuore; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10280/1108.

Council of Science Editors:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Doctoral Dissertation]. Università Cattolica del Sacro Cuore; 2011. Available from: http://hdl.handle.net/10280/1108

15. Ezpeleta, Emilio Vega. Modeling volatility for the Swedish stock market.

Degree: Statistics, 2016, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065

► This thesis will investigate if adding an exogenous variable (implied volatility) to the variance equation will increase the performance for the GARCH(1,1) and EGARCH(1,1)…
(more)

Subjects/Keywords: GARCH; Conditional variance; Realized variance; Implied volatility; Forecasting volatility; Heteroskedasticity; Time series

…are weak stationary.
3.2
Models
This thesis will model log returns *conditional* variance… …The *conditional*
mean equation is then
rt = E(rt |Ωt−1 ) + t ,
(3)… …x29;,
t = zt σt
(5)
where zt is the innovation term. The *conditional* variance… …*conditional* variance affect the current
*conditional* variance and the ARCH coefficients measure how… …squared residual (previous variance) affect the current *conditional* variance. If p=0…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ezpeleta, E. V. (2016). Modeling volatility for the Swedish stock market. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ezpeleta, Emilio Vega. “Modeling volatility for the Swedish stock market.” 2016. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ezpeleta, Emilio Vega. “Modeling volatility for the Swedish stock market.” 2016. Web. 14 Dec 2019.

Vancouver:

Ezpeleta EV. Modeling volatility for the Swedish stock market. [Internet] [Thesis]. Uppsala University; 2016. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ezpeleta EV. Modeling volatility for the Swedish stock market. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065

Not specified: Masters Thesis or Doctoral Dissertation

16.
Wennström, Amadeus.
Volatility *Forecasting* Performance: Evaluation of GARCH type volatility models on Nordic equity indices.

Degree: Mathematical Statistics, 2014, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656

► This thesis examines the volatility *forecasting* performance of six commonly used *forecasting* models; the simple moving average, the exponentially weighted moving average, the ARCH…
(more)

Subjects/Keywords: Conditional Variance; ARCH; GARCH; EGARCH; GJR-GARCH; volatility forecasting; Parkinson’s estimator

…9
*Forecasting* models… …10
3.2
*Conditional* mean… …11
3.3
*Conditional* variance… …29
6.1
Impact of error distribution and *conditional* mean… …29
6.2
*Conditional* variance models…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wennström, A. (2014). Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wennström, Amadeus. “Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices.” 2014. Thesis, KTH. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wennström, Amadeus. “Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices.” 2014. Web. 14 Dec 2019.

Vancouver:

Wennström A. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. [Internet] [Thesis]. KTH; 2014. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wennström A. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. [Thesis]. KTH; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656

Not specified: Masters Thesis or Doctoral Dissertation

17.
Almeida e Santos Nogueira, Rui Jorge.
* Conditional* Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.

Degree: 2014, Erasmus Research Institute of Management

URL: http://hdl.handle.net/1765/51560

► markdownabstract__Abstract__ *Conditional* density estimation is an important problem in a variety of areas such as system identification, machine learning, artificial intelligence, empirical economics, macroeconomic analysis,…
(more)

Subjects/Keywords: Probabilistic Fuzzy System; Fuzzy Set; Conditional Density Approximation; Additive Reasoning; Fuzzy Partitioning; Fuzzy GARCH models; Volatility forecasting; Time varying volatility; Financial forecasting; Semiparametric and Nonparametric Methods; Time-Series Models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Almeida e Santos Nogueira, R. J. (2014). Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. (Doctoral Dissertation). Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/51560

Chicago Manual of Style (16^{th} Edition):

Almeida e Santos Nogueira, Rui Jorge. “Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.” 2014. Doctoral Dissertation, Erasmus Research Institute of Management. Accessed December 14, 2019. http://hdl.handle.net/1765/51560.

MLA Handbook (7^{th} Edition):

Almeida e Santos Nogueira, Rui Jorge. “Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.” 2014. Web. 14 Dec 2019.

Vancouver:

Almeida e Santos Nogueira RJ. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. [Internet] [Doctoral dissertation]. Erasmus Research Institute of Management; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1765/51560.

Council of Science Editors:

Almeida e Santos Nogueira RJ. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. [Doctoral Dissertation]. Erasmus Research Institute of Management; 2014. Available from: http://hdl.handle.net/1765/51560

University of Canterbury

18. Scharth, M. Asymmetric Realized Volatility Risk.

Degree: Department of Economics and Finance, 2014, University of Canterbury

URL: http://hdl.handle.net/10092/10072

► In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns,…
(more)

Subjects/Keywords: realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150202 - Financial Econometrics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Scharth, M. (2014). Asymmetric Realized Volatility Risk. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10072

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Thesis, University of Canterbury. Accessed December 14, 2019. http://hdl.handle.net/10092/10072.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Web. 14 Dec 2019.

Vancouver:

Scharth M. Asymmetric Realized Volatility Risk. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10092/10072.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Scharth M. Asymmetric Realized Volatility Risk. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10072

Not specified: Masters Thesis or Doctoral Dissertation

19. Lorentz, Pär. A Modified Sharpe Ratio Based Portfolio Optimization.

Degree: Mathematical Statistics, 2012, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

► The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights…
(more)

Subjects/Keywords: Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk

…3.1.1 Stochastic Processes and Transition Probability
3.1.2 *Conditional* *Forecasting*… …3.1.2
*Conditional* *Forecasting*
As the probability distribution of the stochastic count… …*conditional* expectation
estimator. This is implemented in the optimization as a leverage on the… …*conditional* expectation theory.
13
3.1.1
Stochastic Processes and Transition Probability… …it holds that the
*conditional* expectation of Y given that X = x is
E[Y |X = x]…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Lorentz, P. (2012). A Modified Sharpe Ratio Based Portfolio Optimization. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lorentz, Pär. “A Modified Sharpe Ratio Based Portfolio Optimization.” 2012. Thesis, KTH. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lorentz, Pär. “A Modified Sharpe Ratio Based Portfolio Optimization.” 2012. Web. 14 Dec 2019.

Vancouver:

Lorentz P. A Modified Sharpe Ratio Based Portfolio Optimization. [Internet] [Thesis]. KTH; 2012. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lorentz P. A Modified Sharpe Ratio Based Portfolio Optimization. [Thesis]. KTH; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

Not specified: Masters Thesis or Doctoral Dissertation

20. Skintzi, Vasiliki. Dynamic correlation models.

Degree: 2004, Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών

URL: http://hdl.handle.net/10442/hedi/17695

► Correlation is one of the most important parameters that needs to be estimated in the context of Modern Portfolio Theory. Accurate estimates of correlation are…
(more)

Subjects/Keywords: Συσχέτιση; Διαχείριση κινδύνων; Διεθνείς χρηματαγορές; Προβλέψεις; Υπό συνθήκη συσχέτιση; Τεκμαρτή συσχέτιση; Δικαιώματα προαίρεσης; Αγορές ομολόγων; Correlation; Risk management; International financial markets; Forecasting; Conditional correlation; Implied correlation; Options; Bond markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Skintzi, V. (2004). Dynamic correlation models. (Thesis). Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών. Retrieved from http://hdl.handle.net/10442/hedi/17695

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Skintzi, Vasiliki. “Dynamic correlation models.” 2004. Thesis, Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών. Accessed December 14, 2019. http://hdl.handle.net/10442/hedi/17695.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Skintzi, Vasiliki. “Dynamic correlation models.” 2004. Web. 14 Dec 2019.

Vancouver:

Skintzi V. Dynamic correlation models. [Internet] [Thesis]. Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών; 2004. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10442/hedi/17695.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Skintzi V. Dynamic correlation models. [Thesis]. Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών; 2004. Available from: http://hdl.handle.net/10442/hedi/17695

Not specified: Masters Thesis or Doctoral Dissertation