[PDF][PDF] Statistical evaluation of value at risk models for estimating agricultural risk
T Asfaha, AF Desmond, G Hailu… - Journal of Statistical and …, 2014 - scienpress.com
This paper develops a skewness and leptokurtic modified VaR model with a mixture weight
parameter that blends the Cornish-Fisher and EWMA methods. We estimate and evaluate …
parameter that blends the Cornish-Fisher and EWMA methods. We estimate and evaluate …
The possibility of evolution from non-strategic risk to strategic risk: The role of strategic assets
D Chen - IOP Conference Series: Materials Science and …, 2020 - iopscience.iop.org
It is of great importance for the survival and development of an enterprise to effectively
manage the risks based on the strategy. On the basis of combing the relevant literature, this …
manage the risks based on the strategy. On the basis of combing the relevant literature, this …
Capturing value-at-risk in futures markets: a revised filtered historical simulation approach
CC Changchien, CH Lin… - The Journal of Risk Model …, 2012 - search.proquest.com
This study modifies the filtered historical simulation developed by Barone-Adesi et al, using
a general power weighted moving average estimator simulation to forecast value-at-risk …
a general power weighted moving average estimator simulation to forecast value-at-risk …
Estimation of Optimal Hedge Ratio for Stock Index Futures: Bias-Corrected EWMA Method
CC Changchien, CH Lin, WH Chao - Taipei Economic Inquiry, 2012 - search.proquest.com
We propose the Bias-corrected EWMA model to estimate optimal hedge ratios for stock
index futures. Our proposed method not only retains the easy usage characteristic of the …
index futures. Our proposed method not only retains the easy usage characteristic of the …
[PDF][PDF] Using Quantile Regression to Estimate Downside Risk for Portfolio Analysis
CH Wu, A Chien, CC Changchien, SR Chou - Citeseer
This study applies equally weighted moving average (SMA), exponential weighted moving
average (EWMA), Bias-Corrected EWMA and quantile regression approach to improve Bias …
average (EWMA), Bias-Corrected EWMA and quantile regression approach to improve Bias …
Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk
CC Changchien, CH Lin, HCP Yang - Journal of Forecasting, 2012 - Wiley Online Library
We propose a method approach. We use six international stock price indices and three
hypothetical portfolios formed by these indices. The sample was observed daily from 1 …
hypothetical portfolios formed by these indices. The sample was observed daily from 1 …
[CITATION][C] 风险价值模型应用于中国股市的实证分析
赵博文 - 企业导报, 2010