稳健的财务风险管理估计分析

IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr) Pub Date : 1996-03-24 DOI:10.1109/CIFER.1996.501844

H. G. Green, R. Martin, M. A. Pearson

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引用次数: 2

摘要

进行了一项调查，以证明数据频率的影响以及使用鲁棒和非鲁棒技术来确定风险参数。结果是针对外汇汇率，但预计将适用于一般的市场价格数据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Robust estimation analytics for financial risk management

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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IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr)

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