{"title":"Robust estimation analytics for financial risk management","authors":"H. G. Green, R. Martin, M. A. Pearson","doi":"10.1109/CIFER.1996.501844","DOIUrl":null,"url":null,"abstract":"An investigation is carried out to demonstrate the effect of data frequency and the use of robust and non-robust techniques for determining risk parameters. The results are for foreign exchange rates but are expected to apply to market price data in general.","PeriodicalId":378565,"journal":{"name":"IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1996-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CIFER.1996.501844","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
An investigation is carried out to demonstrate the effect of data frequency and the use of robust and non-robust techniques for determining risk parameters. The results are for foreign exchange rates but are expected to apply to market price data in general.
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