Table IV displays 1-month VaR estimates calculated using the delta-normal approach delta-normal approach produces Value-at-Risk estimates which move in line with the standard deviations of the portfolios.

Univariate time series;The MIDAS touch: Mixed data sampling regression models.ARCH modelling in finance,Multivariate GARCH Models

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  • Table IX displays the expected tail loss for different confidence levels for each of the four portfolios.
  • Appendix A – Time-series of portfolio returns and Value-at-Risk
  • Appendix B – Conditional mean and variance selection criteria
  • Appendix C – EViews code used
  • Unconditional VaR using bootstrap simulation
  • series vol_f=@coefs(2)+@coefs(3)*resid_d(-1)*resid(-1)^2+@coefs(4)*std(-1)^2
  • McNeil, A and Frey, R. (2000), Estimation of Tail-Related Risk Measures for Heteroscedastic 代写Financial Time Series: An Extreme Value Approach, Journal of Empirical Finance.
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R-i-s-e-P-a-p-e-r承接来自于UNIVERSITY OF CALIFORNIA, DAVIS Department of Electrical and Computer Engineering

这门课的基本操作之一use MATLAB

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  • TUSTIN’s method
  • EMULATION: Design using discrete equivalents
  • circuit_examples_controllable observable
  • We need to do a discrete time design
  • Find a discrete approximate of the controller C = C1C2 using Tustin’s method.
  • Find the steady-state error due to a unit-ramp input sequence.

 

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各种经济学科目求虐

ECON6002 problem set 1中有一个题Consider the Solow-Swan model in continuous time with the Cobb-Douglas aggregate production function,第四问是Solve for the numerical vales.

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