Zdenko Prohaska
Biographic Data
| ID | 7543630 |
|---|---|
| NAME | Zdenko Prohaska |
| GIVEN NAMES | Zdenko |
| FAMILY NAME | Prohaska |
| SIGNATURE | PROHASKA Z |
| AFFILIATIONS | University of Rijeka |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2010 |
| LATEST PUBLICATION YEAR | 2010 |
| H-INDEX | 0 |
Optimisation of Decay Factor in Time Weighted (Brw) Simulation
In this paper we propose an optimisation approach to determining the optimal decay factor in time weighted (BRW) simulation. Testing of BRW simulation with different decay factors and competing VaR models is performed on a sample of nine Mediterranean countries, over a four year period that includes the ongoing financial crisis. After optimisation the BRW simulation is among the best performing tested VaR models, second only to EVT approaches. Op…
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Optimisation of Decay Factor in Time Weighted (Brw) Simulation
In this paper we propose an optimisation approach to determining the optimal decay factor in time weighted (BRW) simulation. Testing of BRW simulation with different decay factors and competing VaR models is performed on a sample of nine Mediterranean countries, over a four year period that includes the ongoing financial crisis. After optimisation the BRW simulation is among the best performing tested VaR models, second only to EVT approaches. Op…
Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Statistics (1 work)