نتایج جستجو برای: var model
تعداد نتایج: 2126623 فیلتر نتایج به سال:
A set of four-dimensional variational data assimilation (4D-Var) experiments were conducted using both a standard method and an incremental method in an identical twin framework. The full physics adjoint model of the Florida State University global spectral model (FSUGSM) was used in the standard 4D-Var, while the adjoint of only a few selected physical parameterizations was used in the increme...
Four dimensional variational data assimilation, called 4D-Var in the atmospheric sciences literature, is a method for combining forecast, dynamical systems equations, prior information about properties of the atmosphere, and heterogeneous observations, to get an estimate of the evolving state of the atmosphere. Summary: We (abstractly) generalize thètoy' weak 4D-Var model in Gong, Wahba, Johnso...
Unrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose general-to-specific reductions of VAR models and consider computer-automated model selection algorithms embodied i...
This paper analyses the application of a switching volatility model to forecast the Ž . distribution of returns and to estimate the Value-at-Risk VaR of both single assets and portfolios. We calculate the VaR value for 10 Italian stocks and a number of portfolios based on these stocks. The calculated VaR values are also compared with the variance–coŽ . variance approach used by JP Morgan in Ris...
The prediction of visual field deterioration in patients who are suffering from normal tension glaucoma plays an important role in the management of the disease. The Vector Auto-Regressive (VAR) process appears to be an appropriate way of modelling the multivariate time series data from the visual fields. However, standard parameterisation techniques such as the Yule-Walker equations for buildi...
Value at Risk (VaR) has become the industry standard to measure the market risk. However, the selection of the VaR models is controversial. Simulation Results indicate Historical Simulation has significant positive bias, while GARCH (1,1) has has significant negative bias. Also HS adapts structural change slowly but stable, while GARCH adapts structural break rapidly but less stable. Thus the m...
Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci cations as they are able to solve the tradeo¤ between theoretical coherence and empirical t. However, these models are still linear and they do not con...
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability o...
After the so-called Asia crisis in the summer of 1997 the nancial markets were shaken by increased volatility transmission around the world. Therefore, in this paper we will analyse the daily exchange rates in New York, Germany, and Japan for the period of 2 years (June 21, 1996 to June 22, 1998). We estimate a VAR-GARCH in mean model and estimate the multivariate volatility e ects between the ...
BACKGROUND AND OBJECTIVES Evidence exists that variability in hemoglobin may be an independent risk factor for mortality among hemodialysis patients. These observations were based on a 1996 cohort, a time when anemia management differed greatly from present. Design, settings, participants and measurements: A retrospective cohort study of patients incident to Fresenius Medical Care units between...
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