نتایج جستجو برای: in this paper we compared multivariate garch models toestimate value

تعداد نتایج: 17518159  

پایان نامه :وزارت علوم، تحقیقات و فناوری - پژوهشگاه دانشهای بنیادی (مرکز تحقیقات فیزیک نظری و 1387

we show that when both sources ( lepton flavor violation sources and cp-violating phases) are present, the electric dipole moment of the electron, $d_e$, receives a contribution from the phase of the trilinear $a$-term of staus, $phi_{a_ au}$. for $phi_{a_ au}=pi/2$, the value of $d_e$, depending on the ratios of the lfv mass elements, can range between zero and three orders of magnitude a...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تربیت مدرس 1382

‏‎the main purpose of this research was to:1.develop a coking model for thermal cracking of naphtha.2.study coke inhibition methods using different coke inhibitors.developing a coking model in naphtha cracking reactors requires a suitable model of the thermal cracking reactor based on a reliable kinetic model.to obtain reliable results all these models shall be solved simultaneously.for this pu...

Journal: :تحقیقات مالی 0
حسن حیدری استادیار دانشکده اقتصاد و مدیریت دانشگاه ارومیه، ایران احمد ملا بهرامی دانشجوی تحصیلات تکمیلی دانشکده اقتصاد و مدیریت دانشگاه ارومیه، ایران

in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...

Journal: Money and Economy 2021

This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...

2015
Jiechen Tang Chao Zhou Xinyu Yuan Songsak Sriboonchitta

This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and ...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه پیام نور استان مازندران - دانشکده ریاضی 1390

abstract this thesis includes five chapter : the first chapter assign to establish fuzzy mathematics requirement and introduction of liner programming in thesis. the second chapter we introduce a multilevel linear programming problems. the third chapter we proposed interactive fuzzy programming which consists of two phases , the study termination conditions of algorithm we show a satisfac...

2015
Christian Contino Richard H. Gerlach

A Skewed Student-t Realised DCC copula model using Realised Volatility GARCH marginal functions is developed within a Bayesian framework for the purpose of forecasting portfolio Value at Risk and Conditional Value at Risk. The use of copulas is implemented so that the marginal distributions can be separated from the dependence structure to produce tail forecasts. This is compared to using tradi...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه یاسوج - دانشکده ادبیات و علوم انسانی 1392

an investigation into oral interaction in language classes: a conversation analytic point of view the aim of this thesis is to analyze the interaction between language teachers and students in english language institutes. this work is done in the context of yasuj city. learning another language, which is in most cases english, involves many variables. one of these variables is the linguistic...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه فردوسی مشهد - دانشکده علوم 1375

this thesis basically deals with the well-known notion of the bear-invariant of groups, which is the generalization of the schur multiplier of groups. in chapter two, section 2.1, we present an explicit formula for the bear-invariant of a direct product of cyclic groups with respect to nc, c>1. also in section 2.2, we caculate the baer-invatiant of a nilpotent product of cyclic groups wuth resp...

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید