DocumentCode
1641597
Title
Model of estimation of risk with correction of error of prognosis of volotilnost
Author
Shamsha, Boris ; Ayvazov, Vitaly ; Kuklin, Nick
Author_Institution
Kharkiv Nat. Univ. of Radio Electron., Kharkiv, Ukraine
fYear
2008
Firstpage
111
Lastpage
114
Abstract
In work the problem of construction of model of prognosis of volotilnosti stochastic temporal rows with correction of error is considered, de bene esse got on the current and past informative great number. A model supposes the increase of risk at the increase of degree of volotilnosti. Estimation of volotilnosti row is determined taking into account the error of estimation of model on previous lagah.
Keywords
error correction; foreign exchange trading; risk analysis; error correction; risk estimation; volotilnost prognosis; volotilnosti row; volotilnosti stochastic temporal rows; GARCH model; Heteroscedasticity; risk; temporal row; volotilnost;
fLanguage
English
Publisher
ieee
Conference_Titel
Modern Problems of Radio Engineering, Telecommunications and Computer Science, 2008 Proceedings of International Conference on
Conference_Location
Lviv-Slavsko
Print_ISBN
978-966-553-678-9
Type
conf
Filename
5423599
Link To Document