Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers
Year of publication: |
2021
|
---|---|
Authors: | Byers, John W. ; Popova, I. ; Simkins, Betty J. |
Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 24.2021, p. 1-18
|
Subject: | Conditional value at risk | Risk capital | Robust estimation | Unsupervised machine learning | Value at risk | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Künstliche Intelligenz | Artificial intelligence | Prognoseverfahren | Forecasting model | Risiko | Risk | Rohstoffderivat | Commodity derivative | Messung | Measurement | Schätztheorie | Estimation theory |
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