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Book Chapter: A mixture price trend model for long-term risk management
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TitleA mixture price trend model for long-term risk management
 
AuthorsFung, SL
Ching, WK
Siu, KTK
 
Issue Date2010
 
PublisherInformation Science Reference
 
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 [How to Cite?]
DOI: http://dx.doi.org/10.4018/978-1-61520-629-2.ch009
 
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.
 
ISSN9781615206292
 
DOIhttp://dx.doi.org/10.4018/978-1-61520-629-2.ch009
 
DC FieldValue
dc.contributor.authorFung, SL
 
dc.contributor.authorChing, WK
 
dc.contributor.authorSiu, KTK
 
dc.date.accessioned2010-12-23T08:51:45Z
 
dc.date.available2010-12-23T08:51:45Z
 
dc.date.issued2010
 
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.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 [How to Cite?]
DOI: http://dx.doi.org/10.4018/978-1-61520-629-2.ch009
 
dc.identifier.doihttp://dx.doi.org/10.4018/978-1-61520-629-2.ch009
 
dc.identifier.epage173
 
dc.identifier.hkuros183224
 
dc.identifier.issn9781615206292
 
dc.identifier.spage157
 
dc.identifier.urihttp://hdl.handle.net/10722/130427
 
dc.languageeng
 
dc.publisherInformation Science Reference
 
dc.publisher.placeHershey, PA
 
dc.relation.ispartofBusiness intelligence in economic forecasting: technologies and techniques
 
dc.titleA mixture price trend model for long-term risk management
 
dc.typeBook_Chapter
 
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<description.abstract>In 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&#8217; 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.</description.abstract>
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