Variance covariance
PERBANDINGAN METODE VARIANCE COVARIANCE DAN HISTORICAL SIMULATION UNTUK MENGUKUR RISIKO INVESTASI REKSA DANA - Diponegoro University | Institutional Repository (UNDIP-IR)
... metode Variance-covariance, metode simulasi Monte Carlo dan metode Historical ...metode Variance-covariance dan metode Historical Simulation untuk mengukur potensi kerugian terbesar pada ...
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Ictami407. 172KB Jun 04 2011 12:08:47 AM
... The classical linear regression model with nonstochas-tic regressor variables is characterized by the following assumptions denoted by A1j, j = 1,7: the variance−covariance matrix of dis[r] ...
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VALUE AT RISK MENGGUNAKAN
... Berkembangnya peredaran surat berharga di bursa saham mengakibatkan investor harus menyusun portofolio yang optimal sehingga mendapatkan tingkat pengembalian yang maksimal. Banyaknya portofolio yang disusun akan tetap ...
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Implementation of Value at Risk In LQ 45 Stocks in Indonesia
... diversified Variance Covariance is smaller than the calculation results Undiversified Variance Covariance VaR portfolio, for the entire time ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Econometrics:Vol99.Issue2.Dec2000:
... PW ) described in (19) above, which does not assume any knowledge of the degree of dependence between the observations. We also carried out computations for t statistics using an alterna- tive estimator of the ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal Of Banking And Finance:Vol24.Issue8.2000:
... the variance±covariance method, it is necessary to adopt an assumption about the multivariate statis- tical distribution of the asset returns, including assumptions regarding the average yield and the ...
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getdoc8eaf. 476KB Jun 04 2011 12:04:40 AM
... The methods to establish the limiting spectral distribution (LSD) of large dimensional ran- dom matrices includes the well known moment method which invokes the trace formula. Its success has been demonstrated in several ...
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ANALISIS DISKRIMINAN LINIER DAN KUADRATIK (Linear and Quadratic Discriminant Analysis)
... and variance covariance, it is discussed in the performance of the linear discriminant and quadratic ...and variance covariance homogeneous, misclassification of linear discriminant analysis ...
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ANALISIS DISKRIMINAN LINIER DAN KUADRATIK (Linear and Quadratic Discriminant Analysis)
... and variance covariance, it is discussed in the performance of the linear discriminant and quadratic ...and variance covariance homogeneous, misclassification of linear discriminant analysis ...
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Analysis of variance
... When multiple factors are used in analysis, a key feature of ANOVA is its ability to test for interactions between factors, meaning effects of one factor that depend on the value (level) of other factor(s). The ...
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Performance Analysis of Covariance Matri
... #1 can be applied in practice. In most applications, however, is exploited in such a way that any scale factor on has no influence on the final result. (e.g., in radar detection, the de- tector could be a likelihood ...
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LORENTZ COVARIANCE OF LANGEVIN EQUATION
... In this work, we discussed the generalization of the Brownian motion of a relativistic particle. The covariance of the SDE requires that the noise must be essentially multiplicative in a general frame. The Lorentz ...
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Derivation of Covariance Probit Elastici
... Derivation of Covariance Probit Elasticities Hofacker, Charles F... Reproduced with permission of the copyright owner.[r] ...
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Coherent covariance analysis of periodic
... less than that for the covariance. This obviously affects the bias j b t; ^ ð u Þ k (see Fig. 3) It is relatively easy to show that the relative value h b t; ^ ð u Þ i = b t; ð u Þ increases with lag u and, ...
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Covariance structure analysis of regiona
... higher variance because it is expressed in the original metric without rescaling while most other variables were expressed either in thousands or in ...relative variance then any other variable in the ...of ...
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