Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework. Journal of Finance, pp. 1-33.Forecasting Value-at-Risk with time-varying variance,skewness and kurtosis in an exponential weighted moving average framework. Gabrielsen A,Za...
英语翻译Moving averageOne,very simple,method for time series forecasting is to take a moving average (also known as weighted moving average).The moving average (mt) over the last L periods ending in period t is calculated by taking the average of
calculate the average absolute error 100 is more than 100:; 翻译结果3复制译文编辑译文朗读译文返回顶部 After the above calculation and chart responses, weighted moving average method of accuracy of forecasting short-time traffic flow better than the simple moving average, and in the case of moving...
Additionally, we demonstrate that the proposed method works well compared with the Double Exponentially Weighted Moving Average (DEWMA), the Multiplicative Holt-Winters (MHW), and the Additive Holt-Winters (AHW) methods, which are suitably used for forecasting data with the trend and the ...
内容提示: Forecasting Sales by Exponentially Weighted Moving AveragesAuthor(s): Peter R. WintersSource: Management Science, Vol. 6, No. 3 (Apr., 1960), pp. 324-342Published by: INFORMSStable URL: http://www.jstor.org/stable/2627346Accessed: 05/12/2010 06:57Your use of the JSTOR ...
aHolt, C.C. 1957. Forecasting seasonals and trends by exponentially weighted moving averages. ONR Research MemorandumNo. 52, Carnegie Institute of Technology. Holt, C.C。 1957. 展望seasonals和趋向由指数地被衡量的移动平均数。 ONR研究MemorandumNo。 52,卡内基技术研究所。[translate] ...
The formula for the weighted average cost method is as follows: Where: Costs of goods available for saleis calculated as beginning inventory value + purchases. Units available for saleare the number of units a company can sell or the total number of units in inventory and is calculated as be...
The writer for one would be interested to know whether such a simplified smoothing formula is suitable for Third World or small business situations-perhaps imposing some restrictions upon the maximum value of k- as a first step into genuinely adaptive forecasting, where demand has been too ...
A Weighted Moving Average Process for Forecastingdoi:10.22237/JMASM/1193891100Shou Hsing ShihChris P. Tsokos
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework. Journal of Finance, pp. 1-33.Gabrielsen, Alexandros, Paolo Zagaglia, Axel Kirchnerc, and Zhuoshi Liu. 2012. Forecasting Value-at-Risk with Time-Varying Variance, ...