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  • Search: subject:"weighted moving average"
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Year of publication
Subject
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Risikomaß 6 Risk measure 6 Forecasting model 5 Portfolio selection 5 Portfolio-Management 5 Prognoseverfahren 5 Value-at-Risk 5 Value-at-Risk (VaR) 5 dynamic volatilities 5 integrated generalized autoregressive score models 5 risk management 5 ARCH model 4 ARCH-Modell 4 Estimation theory 4 Schätztheorie 4 Statistical process control 4 Time series analysis 4 Zeitreihenanalyse 4 Cornish-Fisher expansion 3 Exponential Weighted Moving Average (EWMA) 3 Exponentially weighted moving average control chart 3 Gram-Charlier density 3 Stochastic process 3 Stochastischer Prozess 3 Theorie 3 Theory 3 Volatility 3 Volatilität 3 exponential weighted moving average 3 exponentially weighted moving average 3 time varying higher order moments 3 Asymmetric Laplace distribution 2 Average run length 2 EWMA (Exponentially Weighted Moving Average) 2 Estimation 2 Exponentially Weighted Moving Average (EWMA) 2 Exponentially weighted moving average (EWMA) 2 Forest Inventory and Analysis program 2 Fuzzy control chart 2 Fuzzy sets 2
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Online availability
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Free 26 CC license 2
Type of publication
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Book / Working Paper 15 Article 11
Type of publication (narrower categories)
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Working Paper 7 Article in journal 5 Aufsatz in Zeitschrift 5 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 2
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Language
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English 15 Undetermined 9 Spanish 2
Author
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Lucas, André 5 Zhang, Xin 5 Zagaglia, Paolo 3 Adepoju, Akeem Ajibola 2 Barrett, Tara M. 2 Betancourt Bejarano, Katherine 2 Broll, Udo 2 Chiroma, Haruna 2 Eskelson, Bianca N.I. 2 Förster, Andreas 2 Gabrielsen, Alexandros 2 García Díaz, Carlos Mario 2 Huang, Hai 2 Jibasen, Danjuma 2 Kirchner, Axel 2 Liu, Zhuoshi 2 Lozano Riaño, Viviana 2 Lu, Zudi 2 Maravelakis, Petros 2 Panaretos, John 2 Psarakis, Stelios 2 Temesgen, Hailemariam 2 Abdulkadir, Sauta 1 Abdulkadir, Sauta S. 1 Dumičić, Ksenija 1 Gabrielsen, A. 1 Gerlach, Richard 1 Harvey, A. 1 He, Kaijian 1 Kirchner, A. 1 Lai, Kin Keung 1 Li, Xingye 1 Liu, Z. 1 Lorimer, Douglas Austen 1 Mahfod-Leroux, Jomana 1 Szczygielski, Jan Jakub 1 Taghipour, Atour 1 Tliche, Youssef 1 Van Schalkwyk, Cornelis Hendrik 1 Vosooghidizaji, Mohammadali 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Business School, University of Sydney 2 USDA, FS 2 Faculty of Economics, University of Cambridge 1 Rimini Centre for Economic Analysis (RCEA) 1 Tinbergen Instituut 1
Published in...
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MPRA Paper 3 Working Papers / Business School, University of Sydney 2 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 Discussion paper / Tinbergen Institute 1 Energies 1 Finance research letters 1 International journal of economics and financial issues : IJEFI 1 International journal of information systems and supply chain management : IJISSCM ; an official publication of the Information Resources Management Association 1 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 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 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1
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Source
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RePEc 10 ECONIS (ZBW) 9 EconStor 5 BASE 2
Showing 1 - 10 of 26
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Interval Type-2 fuzzy exponentially weighted moving average control chart
Adepoju, Akeem Ajibola; Abdulkadir, Sauta S.; Jibasen, … - In: Statistics in Transition new series (SiTns) 23 (2022) 1, pp. 185-200
control chart. This paper aims to develop an Interval Type-2 fuzzy Exponentially Weighted Moving Average Control Chart (IT2 …
Persistent link: https://www.econbiz.de/10013444127
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Cover Image
Interval Type-2 fuzzy exponentially weighted moving average control chart
Adepoju, Akeem Ajibola; Abdulkadir, Sauta; Jibasen, Danjuma - In: Statistics in transition : an international journal of … 23 (2022) 1, pp. 185-200
control chart. This paper aims to develop an Interval Type-2 fuzzy Exponentially Weighted Moving Average Control Chart (IT2 …
Persistent link: https://www.econbiz.de/10013419414
Saved in:
Cover Image
Portfolio optimisation using alternative risk measures
Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - In: Finance research letters 67 (2024) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10015061498
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Collaborative bullwhip effect-oriented bi-objective optimization for inference-based weighted moving average forecasting in decentralized supply chain
Tliche, Youssef; Taghipour, Atour; Mahfod-Leroux, Jomana; … - In: International journal of information systems and supply … 16 (2023) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10014445298
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Market risk: Exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://www.econbiz.de/10012289413
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Cover Image
Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://www.econbiz.de/10012285469
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Cover Image
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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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/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
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