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On the Lp-Norm Regression Models for Estimating Value-at-Risk

Kumar, PraneshKashanchi, Faramarz — 2014

Serdica Journal of Computing

Analysis of risk measures associated with price series data movements and its predictions are of strategic importance in the financial markets as well as to policy makers in particular for short- and longterm planning for setting up economic growth targets. For example, oilprice risk-management focuses primarily on when and how an organization can best prevent the costly exposure to price risk. Value-at-Risk (VaR) is the commonly practised instrument to measure risk and is evaluated by analysing...

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