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On-line Calibration of the EWMA Models: Simulations and Applications

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10312724" target="_blank" >RIV/00216208:11320/15:10312724 - isvavai.cz</a>

  • Result on the web

    <a href="http://msed.vse.cz/online" target="_blank" >http://msed.vse.cz/online</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    On-line Calibration of the EWMA Models: Simulations and Applications

  • Original language description

    The exponentially weighted moving average (EWMA) model is a particular modelling scheme used by RiskMetrics for predicting the current level of volatility of financial time series. It is designed to track changes in volatility by assigning exponentiallydecreasing weights to the observed historical squared financial returns. The applied weighting factors are conventionally prescribed by experts (users), or they are estimated employing standard statistical inference procedures, e.g. the maximum likelihood method. However, it is also possible to consider recursive (sequential or on-line) estimation techniques, which represent numerically effective alternatives to the already established approaches. The aim of this paper is to introduce and study a one-stage self-weighted on-line estimation algorithm appropriate for calibrating the EWMA model. Firstly, its derivation and theoretical properties are briefly outlined and summarized. Secondly, its practical performance is investigated by vari

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    The 9th International Days of Statistics and Economics: Conference Proceedings

  • ISBN

    978-80-87990-06-3

  • ISSN

  • e-ISSN

  • Number of pages

    10

  • Pages from-to

    520-529

  • Publisher name

    MELANDRIUM

  • Place of publication

    Slaný (CZ)

  • Event location

    Praha (CZ)

  • Event date

    Sep 10, 2015

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article