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  • Search: subject:"Exponentially weighted moving average"
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Year of publication
Subject
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exponentially weighted moving average 16 Estimation theory 13 Schätztheorie 13 Risikomaß 10 Risk measure 10 Theorie 10 Theory 10 Time series analysis 9 Zeitreihenanalyse 9 Portfolio selection 7 Portfolio-Management 7 Statistical quality control 7 Statistische Qualitätskontrolle 7 EWMA 6 Exponentially weighted moving average 6 Forecasting model 6 Prognoseverfahren 6 Stochastic process 5 Stochastischer Prozess 5 Volatility 5 Volatilität 5 statistical process control 5 ARCH model 4 ARCH-Modell 4 Exponentially weighted moving average control chart 4 Statistical process control 4 Value-at-Risk 4 Analysis of variance 3 Average run length 3 EWMA-Regelkarte 3 Estimation 3 Exponentially Weighted Moving Average (EWMA) 3 Production control 3 Produktionssteuerung 3 Prozessüberwachung 3 Quality management 3 Qualitätsmanagement 3 Risiko 3 Risk 3 Schätzung 3
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Online availability
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Undetermined 28 Free 15 CC license 1
Type of publication
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Article 42 Book / Working Paper 11
Type of publication (narrower categories)
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Article in journal 27 Aufsatz in Zeitschrift 27 Working Paper 4 Arbeitspapier 2 Article 2 Dissertation u.a. Prüfungsschriften 2 Graue Literatur 2 Non-commercial literature 2 research-article 2 Aufsatz im Buch 1 Book section 1 Hochschulschrift 1 Thesis 1
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Language
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English 35 Undetermined 14 German 2 Spanish 2
Author
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Broll, Udo 3 Förster, Andreas 3 Lucas, André 3 Zhang, Xin 3 Adepoju, Akeem Ajibola 2 Ajadi, Jimoh Olawale 2 Ajibade, Ganiyu Ayodele 2 Alih, Ekele 2 Amiri, Amirhossein 2 Betancourt Bejarano, Katherine 2 Chakraborti, Subhabrata 2 Chevallier, Julien 2 Chiroma, Haruna 2 García Díaz, Carlos Mario 2 Huang, Hai 2 Jibasen, Danjuma 2 Khoo, Michael B. C. 2 Kuboye, Olusola John 2 Lozano Riaño, Viviana 2 Lu, Zudi 2 Maravelakis, Petros 2 Panaretos, John 2 Psarakis, Stelios 2 Stemann, Dietmar 2 Zhu, Bangzhu 2 Zou, Changliang 2 Abdulkadir, Sauta 1 Abdulkadir, Sauta S. 1 Aghaie, Abdollah 1 Al-Khalifa, K. N. 1 Aminnayeri, Majid 1 Asadzadeh, Shervin 1 Borror, Connie M. 1 Castagliola, P. 1 Chen, Cathy W. S. 1 Chen, Chung-Ho 1 Chen, Mei-yen 1 Chen, Sunwu Winfred 1 Chien, Chang-Cheng Chang 1 Chong, Zhi Lin 1
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Institution
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Business School, University of Sydney 2 Faculty of Economics, University of Cambridge 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of production research 5 Journal of Applied Statistics 3 Europäische Hochschulschriften / 5 2 Finance research letters 2 International Journal of Quality & Reliability Management 2 International journal of productivity and quality management : IJPQM 2 Quality & Quantity: International Journal of Methodology 2 Working Papers / Business School, University of Sydney 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Atlantic Review of Economics 1 Atlantic review of economics : AROE 1 Business Systems Research 1 CEPIE Working Paper 1 CEPIE working paper 1 Cambridge Working Papers in Economics 1 Decision making and risk/return optimization in financial economics 1 Economics and business review 1 European Sport management quarterly : ESMQ 1 European journal of operational research : EJOR 1 International Journal of Data Analysis Techniques and Strategies 1 International Journal of Financial Markets and Derivatives 1 International journal of economics and financial issues : IJEFI 1 International journal of finance & economics : IJFE 1 International journal of forecasting 1 International journal of management concepts and philosophy : IJMCP 1 International journal of networking and virtual organisations : IJNVO 1 International journal of quality & reliability management 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of risk 1 Journal of the Operational Research Society 1 MPRA Paper 1 Metrika 1 Review of Pacific Basin Financial Markets and Policies (RPBFMP) 1 Statistics in Transition new series (SiTns) 1 Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland 1 Sveriges Riksbank Working Paper Series 1 Sveriges Riksbank working paper series 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 31 RePEc 14 EconStor 4 USB Cologne (EcoSocSci) 2 Other ZBW resources 2
Showing 11 - 20 of 53
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
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Target volatility strategies for group self-annuity portfolios
Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 591-617
Persistent link: https://www.econbiz.de/10013270078
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Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu; Chen, Cathy W. S.; Syu, Fong-Yi - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
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A novel procedure to improve traditional EWMA control chart performance in detecting both small and large shifts
Torkamani, Negin; Jalilibal, Zahra; Amiri, Amirhossein - In: International journal of productivity and quality … 33 (2021) 4, pp. 435-449
Persistent link: https://www.econbiz.de/10012613527
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Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity mode...
Xu, Rong; Li, Xingye - In: International journal of economics and financial issues … 7 (2017) 6, pp. 104-110
Persistent link: https://www.econbiz.de/10011948261
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
the subsequent estimates. The new approach nests several of the earlier extensions to the exponentially weighted moving … average (EWMA) scheme. In addition, it can easily be extended to higher dimensions and alternative forecasting distributions …
Persistent link: https://www.econbiz.de/10011442899
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Statistical Control Charts: Performances of Short Term Stock Trading in Croatia
Dumičić, Ksenija; Žmuk, Berislav - In: Business Systems Research 6 (2015) 1, pp. 22-35
process. Methods/Approach: The individual (I), exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control …
Persistent link: https://www.econbiz.de/10011272291
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Cover Image
Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
the subsequent estimates. The new approach nests several of the earlier extensions to the exponentially weighted moving … average (EWMA) scheme. In addition, it can easily be extended to higher dimensions and alternative forecasting distributions …
Persistent link: https://www.econbiz.de/10011332948
Saved in:
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Acceptance sampling plans based on EWMA yield index for the first order autoregressive process
Tamirat, Yeneneh; Wang, Fu-Kwun - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1179-1192
Persistent link: https://www.econbiz.de/10012213635
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An adaptive exponentially weighted moving average-type control chart to monitor the process mean
Mitra, Amitava; Lee, Kang Bok; Chakraborti, Subhabrata - In: European journal of operational research : EJOR 279 (2019) 3, pp. 902-911
Persistent link: https://www.econbiz.de/10012102800
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