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Comparing Various EWMA Model Estimators: Value at Risk Perspective

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329025" target="_blank" >RIV/00216208:11320/16:10329025 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Comparing Various EWMA Model Estimators: Value at Risk Perspective

  • Original language description

    The exponentially weighted moving average (EWMA) model is a particular modelling scheme supported by RiskMetrics that is capable of predicting the current level of financial time series volatility. It is designed to track changes in conditional variance of financial returns by assigning exponentially decreasing weights to the observed past squared measurements. Recently, several on-line (i.e. recursive) estimation techniques suitable for this class of stochastic models have been introduced. These methods undoubtedly represent attractive alternatives to the common identification and calibration procedures (i.e. off-line or batch); they can estimate and control the process behaviour in real time. The aim of the paper is to examine different EWMA model estimators by using financial data. For instance, one might consider the Value at Risk (VaR) backtesting approach since Value at Risk predictions are relevant outputs of the RiskMetrics EWMA modelling framework (especially from the practical point of view). Therefore, various VaR backtests can be used to study the adequacy of different EWMA model estimators.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BA - General mathematics

  • 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

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2016

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)

  • ISBN

    978-80-7494-296-9

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    265-270

  • Publisher name

    TECHNICAL UNIVERSITY LIBEREC

  • Place of publication

    LIBEREC

  • Event location

    Liberec

  • Event date

    Sep 6, 2016

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000385239500046