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2.003  Articles
1 of 201 pages  |  10  records  |  more records»
Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear. Faktanya, asumsi nor... see more

With the increasing rate of wind power installed capacity, voltage state assessment with large-scale wind power integration is of great significance. In this paper, a vine-copula based voltage state assessment method with large-scale wind power integratio... see more

This paper concentrates on the capacity credit (CC) evaluation of wind energy, where a new method for constructing the joint distribution of wind speed and load is proposed. The method is based on the skew-normal mixture model (SNMM) and D-vine copulas, w... see more

Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copu... see more

Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in ... see more

Predictive uncertainty (PU) is defined as the probability of occurrence of an observed variable of interest, conditional on all available information. In this context, hydrological model predictions and forecasts are considered to be accessible but yet un... see more


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1 of 201 pages  |  10  records  |  more records»