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Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Deep-learning models for forecasting financial risk premia and their interpretations
Lo, Andrew W.; Singh, Manish - In: Quantitative finance 23 (2023) 6, pp. 917-929
Persistent link: https://www.econbiz.de/10014304395
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A generative model of a limit order book using recurrent neural networks
Hultin, Hanna; Hult, Henrik; Proutiere, Alexandre; … - In: Quantitative finance 23 (2023) 6, pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788