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Book Chapter: A mixture price trend model for long-term risk management

TitleA mixture price trend model for long-term risk management
Authors
Issue Date2010
PublisherInformation Science Reference
Citation
A mixture price trend model for long-term risk management. In Wang, J and Wang, S (Eds.), Business intelligence in economic forecasting: technologies and techniques, p. 157-173. Hershey, PA: Information Science Reference, 2010 How to Cite?
AbstractIn financial forecasting, a long-standing challenging issue is to develop an appropriate model for forecasting long-term risk management of enterprises. In this chapter, using financial markets as an example, we introduce a mixture price trend model for long-term forecasts of financial asset prices with a view to applying it for long-term financial risk management. The key idea of the mixture price trend model is to provide a general and flexible way to incorporate various price trend behaviors and to extract information from price trends for long-term forecasting. Indeed, the mixture price trend model can incorporate model uncertainty in the price trend model, which is a key element for risk management and is overlooked in some of the current literatures. The mixture price trend model also allows the incorporation of users’ subjective views on long-term price trends. An efficient estimation method is introduced. Statistical analysis of the proposed model based on real data will be conducted to illustrate the performance of the model.
Persistent Identifierhttp://hdl.handle.net/10722/130427
ISSN

 

DC FieldValueLanguage
dc.contributor.authorFung, SLen_US
dc.contributor.authorChing, WKen_US
dc.contributor.authorSiu, KTKen_US
dc.date.accessioned2010-12-23T08:51:45Z-
dc.date.available2010-12-23T08:51:45Z-
dc.date.issued2010en_US
dc.identifier.citationA mixture price trend model for long-term risk management. In Wang, J and Wang, S (Eds.), Business intelligence in economic forecasting: technologies and techniques, p. 157-173. Hershey, PA: Information Science Reference, 2010-
dc.identifier.issn9781615206292-
dc.identifier.urihttp://hdl.handle.net/10722/130427-
dc.description.abstractIn financial forecasting, a long-standing challenging issue is to develop an appropriate model for forecasting long-term risk management of enterprises. In this chapter, using financial markets as an example, we introduce a mixture price trend model for long-term forecasts of financial asset prices with a view to applying it for long-term financial risk management. The key idea of the mixture price trend model is to provide a general and flexible way to incorporate various price trend behaviors and to extract information from price trends for long-term forecasting. Indeed, the mixture price trend model can incorporate model uncertainty in the price trend model, which is a key element for risk management and is overlooked in some of the current literatures. The mixture price trend model also allows the incorporation of users’ subjective views on long-term price trends. An efficient estimation method is introduced. Statistical analysis of the proposed model based on real data will be conducted to illustrate the performance of the model.-
dc.languageengen_US
dc.publisherInformation Science Reference-
dc.relation.ispartofBusiness intelligence in economic forecasting: technologies and techniques-
dc.titleA mixture price trend model for long-term risk managementen_US
dc.typeBook_Chapteren_US
dc.identifier.emailChing, WK: wching@HKUCC.hku.hken_US
dc.identifier.emailSiu, KTK: tksiu@graduate.hku.hken_US
dc.identifier.authorityChing, WK=rp00679en_US
dc.identifier.doi10.4018/978-1-61520-629-2.ch009-
dc.identifier.hkuros183224en_US
dc.identifier.spage157en_US
dc.identifier.epage173en_US
dc.publisher.placeHershey, PA-
dc.customcontrol.immutableyiu 130325-

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