ASSESSING WORST WEATHER BY ESTIMATING VALUE-AT-RISK USING HETEROSCEDASTIC PROCESS
Abstract
Keywords
Full Text:
PDFReferences
Christoffersen, P. and Concalves, S. (2005). “Estimation risk in financial risk management”. Journal of Risk 7(3), page 1-28.
Nhita, F., Adiwijaya, Annisa, S., Kinasih, S. “Comparative study of grammatical evolution and adaptive neurofuzzy Inference system on rainfall forecasting in Bandung”. In3rdInternational Conference on Information and Communication Technology. 2015.
S. W. Pratama, Nhita, F. and Adiwijaya,. “Implementation of local regression smoothing and fuzzy-grammatical evolution on rainfall forecasting for rice planting calendar” In4rdInternational Conference on Information and Communication Technology. 2016.
Barndorff-Nielsen, O. E. and Cox, D. R. (1994).Inference and Asymptotics. London: Chapman and Hall.
Huang, J. J, et al. (2009). “Estimating value at risk of portfolio by conditional copula-GARCH method”. Insurance: Mathematics and Economics 45 (3), page 315-324.
Vidoni, P. (2004). “Improved prediction intervals for stochastic process models”. Journal of Time Series Analysis25( 1), page 137-154.
Rohmawati, A. A. and Syuhada, K. (2015). “Value-at-Risk and expected shortfall relationship”. International Journal of Applied Mathematics and Statistics53(5), page 211-215.
McNeil, A.J, Frey, R. and Embrechts , P. (2005). Quantitative Risk Management. Pricenton University Press.
Kabaila, P. and Syuhada, K. (2010). “The asymptotic efficiency of improved prediction intervals”. Statistics and Probability Letters 80, page 1348-1353.
Champavat, V. R., Patel, J. K., Patel, A. P., & Patel, G. P. (2014). MEMS : Novel Means of Smart Drug Delivery 32 | IJPRT | January – March Champavat et al / International Journal of Pharmacy Research & Technology 2014 4 ( 1 ) 32-37, 4(1), 32–37.
Kabaila, P. and Syuhada, K. (2007). “Improved prediction limits for AR(p) and ARCH(p) processes”. Journal of Time Series Analysis 29(2), page 213-22.
DOI: http://dx.doi.org/10.6084/ijact.v7i11.801
Refbacks
- There are currently no refbacks.