Matches in SemOpenAlex for { <https://semopenalex.org/work/W2045769906> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W2045769906 abstract "In order to use the states of price trends or historical volatility to interpret value-at-risk without distributional assumptions, quantile regression method is used to solve the problem. We present the risk measurement model using five lag returns as explanatory variables. To describe the relationship between risk and status we introduce the explanatory variables of price trend states into the model. To research the relationship between risk and volatility, we introduce the explanatory variable of historical volatility into quantile regression model. The results estimated by both the model and IGARCH model are compared. We find out that the states of price trends interpret effectively the relationship between value-at-risk and states. By using the historical volatility of 30 days as explanatory variable, the risk measurement model is more effective than IGARCH model." @default.
- W2045769906 created "2016-06-24" @default.
- W2045769906 creator A5023781884 @default.
- W2045769906 creator A5055481927 @default.
- W2045769906 date "2010-08-01" @default.
- W2045769906 modified "2023-09-25" @default.
- W2045769906 title "Constructing Risk Measurement Models by Quantile Regression Method" @default.
- W2045769906 cites W1501835916 @default.
- W2045769906 cites W1965177830 @default.
- W2045769906 cites W1972556330 @default.
- W2045769906 cites W2074791545 @default.
- W2045769906 cites W2096904991 @default.
- W2045769906 cites W2129129802 @default.
- W2045769906 cites W2147646644 @default.
- W2045769906 cites W2150747312 @default.
- W2045769906 cites W3122046970 @default.
- W2045769906 doi "https://doi.org/10.1109/bife.2010.87" @default.
- W2045769906 hasPublicationYear "2010" @default.
- W2045769906 type Work @default.
- W2045769906 sameAs 2045769906 @default.
- W2045769906 citedByCount "1" @default.
- W2045769906 countsByYear W20457699062012 @default.
- W2045769906 crossrefType "proceedings-article" @default.
- W2045769906 hasAuthorship W2045769906A5023781884 @default.
- W2045769906 hasAuthorship W2045769906A5055481927 @default.
- W2045769906 hasConcept C105795698 @default.
- W2045769906 hasConcept C118671147 @default.
- W2045769906 hasConcept C149782125 @default.
- W2045769906 hasConcept C152877465 @default.
- W2045769906 hasConcept C162324750 @default.
- W2045769906 hasConcept C187736073 @default.
- W2045769906 hasConcept C32896092 @default.
- W2045769906 hasConcept C33923547 @default.
- W2045769906 hasConcept C63817138 @default.
- W2045769906 hasConcept C85393063 @default.
- W2045769906 hasConcept C91602232 @default.
- W2045769906 hasConcept C94128290 @default.
- W2045769906 hasConceptScore W2045769906C105795698 @default.
- W2045769906 hasConceptScore W2045769906C118671147 @default.
- W2045769906 hasConceptScore W2045769906C149782125 @default.
- W2045769906 hasConceptScore W2045769906C152877465 @default.
- W2045769906 hasConceptScore W2045769906C162324750 @default.
- W2045769906 hasConceptScore W2045769906C187736073 @default.
- W2045769906 hasConceptScore W2045769906C32896092 @default.
- W2045769906 hasConceptScore W2045769906C33923547 @default.
- W2045769906 hasConceptScore W2045769906C63817138 @default.
- W2045769906 hasConceptScore W2045769906C85393063 @default.
- W2045769906 hasConceptScore W2045769906C91602232 @default.
- W2045769906 hasConceptScore W2045769906C94128290 @default.
- W2045769906 hasLocation W20457699061 @default.
- W2045769906 hasOpenAccess W2045769906 @default.
- W2045769906 hasPrimaryLocation W20457699061 @default.
- W2045769906 hasRelatedWork W1509479920 @default.
- W2045769906 hasRelatedWork W152630734 @default.
- W2045769906 hasRelatedWork W1528260026 @default.
- W2045769906 hasRelatedWork W1602496585 @default.
- W2045769906 hasRelatedWork W1605981853 @default.
- W2045769906 hasRelatedWork W1798938997 @default.
- W2045769906 hasRelatedWork W1856572084 @default.
- W2045769906 hasRelatedWork W2016691324 @default.
- W2045769906 hasRelatedWork W2038693653 @default.
- W2045769906 hasRelatedWork W2064016956 @default.
- W2045769906 hasRelatedWork W2119214167 @default.
- W2045769906 hasRelatedWork W2130472313 @default.
- W2045769906 hasRelatedWork W2363805791 @default.
- W2045769906 hasRelatedWork W2531598502 @default.
- W2045769906 hasRelatedWork W2545762337 @default.
- W2045769906 hasRelatedWork W3124042320 @default.
- W2045769906 hasRelatedWork W3137985231 @default.
- W2045769906 hasRelatedWork W3182561118 @default.
- W2045769906 hasRelatedWork W3208999641 @default.
- W2045769906 hasRelatedWork W372418585 @default.
- W2045769906 isParatext "false" @default.
- W2045769906 isRetracted "false" @default.
- W2045769906 magId "2045769906" @default.
- W2045769906 workType "article" @default.