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[{"key": "dc.contributor.author", "value": "Kallio, Lauri", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2014-08-14T11:14:13Z", "language": "", "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2014-08-14T11:14:13Z", "language": "", "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2014", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.other", "value": "oai:jykdok.linneanet.fi:1444281", "language": null, "element": "identifier", "qualifier": "other", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/44018", "language": "", "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4m\u00e4n tutkimuksen tarkoituksena oli toteuttaa Value at Risk-malleja vertaileva backtesting-tutkimus. Malleiksi valikoituivat perinteinen painottamaton historiallinen simulaatio ja eksponentiaalisesti painotettu historiallinen simulaatio. Tavoitteena oli tutkia kannattaako havaintoja painottaa koska molemmat mallit olivat siin\u00e4 mieless\u00e4 vertailukelpoisia, ett\u00e4 painotettu malli toteutettuna painotuskertoimella 1, eli kaikki havainnot saavat saman painon vastaa painottamatonta variaatiota. L\u00e4ht\u00f6kohtana oli, ett\u00e4 painottaminen on kannattavaa koska painottamattomassa versiossa pienill\u00e4 havaintom\u00e4\u00e4rill\u00e4 havaintojoukko ei ole edustava ja suurilla havaintom\u00e4\u00e4rill\u00e4 taas malli ei kykene huomioimaan markkinoiden dynamiikkaa etenkin volatiliteetin suhteen. Tutkimus toteutettiin niin, ett\u00e4 molemmille malleille laskettiin yhden p\u00e4iv\u00e4n VaR-estimaatit 99 % luottamustasolla. K\u00e4ytetyt havaintom\u00e4\u00e4r\u00e4t olivat 250, 750 ja 1500 ja painotuskertoimena k\u00e4ytettiin arvoa 0,99. Aineistoina toimi nelj\u00e4 osakeindeksi\u00e4: S&P 500, OMX Helsinki, Hang Seng ja MSCI Emerging Markets. P\u00e4ivitt\u00e4isi\u00e4 havaintoja oli 20 vuodelta ja VaR-estimaatteja laskettiin kullekin havaintom\u00e4\u00e4r\u00e4lle ja mallille 5000 kpl. VaR-estimaattien tarkkuutta mitattiin t\u00e4m\u00e4n j\u00e4lkeen Christoffersenin kaksiosaisella testill\u00e4. T\u00e4m\u00e4n j\u00e4lkeen toteutettiin painotuskertoimen optimointi edell\u00e4 mainitun Christoffersenin testin suhteen. Eksponentiaalisesti painotettu historiallinen simulaatio on tulosten valossa tarkempi malli ja t\u00e4m\u00e4n perusteella n\u00e4ytt\u00e4isi silt\u00e4, ett\u00e4 painottaminen on kannattavaa ja parantaa VaR-estimaattien tarkkuutta.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted using Plone Publishing form by Lauri Kallio (lalekall) on 2014-08-14 11:14:12.235646. Form: Pro gradu -lomake (https://kirjasto.jyu.fi/julkaisut/julkaisulomakkeet/pro-gradu-lomake). JyX data: [jyx_publishing-allowed (fi) =True]", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija@noreply.fi) on 2014-08-14T11:14:13Z\r\nNo. of bitstreams: 2\r\nURN:NBN:fi:jyu-201408142358.pdf: 2704965 bytes, checksum: 87584e69ead17c6e91db600ce7fafb07 (MD5)\r\nlicense.html: 4825 bytes, checksum: be04843094b8c2a8fb6f0121ba180e9d (MD5)", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2014-08-14T11:14:13Z (GMT). No. of bitstreams: 2\r\nURN:NBN:fi:jyu-201408142358.pdf: 2704965 bytes, checksum: 87584e69ead17c6e91db600ce7fafb07 (MD5)\r\nlicense.html: 4825 bytes, checksum: be04843094b8c2a8fb6f0121ba180e9d (MD5)\r\n Previous issue date: 2014", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "1 verkkoaineisto (51 sivua)", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "fin", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "Value at Risk", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Value at risk : eksponentiaalisesti painotettu historiallinen simulaatio", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201408142358", "language": null, "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Kansantaloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.date.updated", "value": "2014-08-14T11:14:14Z", "language": "", "element": "date", "qualifier": "updated", "schema": "dc"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": "fi", "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": null, "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "testit", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "Christoffersenin testi", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
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