Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Three steps method for portfolio optimization by using Conditional Value at Risk measure
Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...
متن کاملConditional Value at Risk
We suggest a new methodology to overcome several well-known deeciencies of Value at Risk computations. Our approach mainly addresses two aspects of Value at Risk: rst, to avoid potentially disastrous clustering in predicted tail events we derive a new approach to accurately estimating the conditional distribution of asset returns using maximum entropy densities. Second, by the very nature of th...
متن کاملusing mgarch to estimate value at risk
in this paper we compared multivariate garch models toestimate value-at-risk. we used a portfolio of weekly indexesincluding tedpix, klse, xu100 during ten years. to estimatevalue-at-risk, first we estimated ccc, dcc of engle, dcc of tseand tsui, dynamic equi correlation models by oxmetrics. then,optimum lags were estimated by minimizing the information criteria.to estimate var, the models accu...
متن کاملConditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
W study optimization problems with value-at-risk (VaR) constraints. Because it lacks subadditivity, VaR is not a coherent risk measure and does not necessarily preserve the convexity. Thus, the problems we consider are typically not provably convex. As such, the conditional value-at-risk (CVaR) approximation is often used to handle such problems. Even though the CVaR approximation is known as t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Proceedings
سال: 2019
ISSN: 2504-3900
DOI: 10.3390/proceedings2019033007