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An efficient portfolio construction model using stock price predicted by support vector regression

Mishra, Sasmita; Padhy, Sudarsan - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012203697

Applying independent component analysis and predictive systems for algorithmic trading

Ceffer, Attila; Levendovszky, Janos; Fogarasi, Norbert - In: Computational economics 54 (2019) 1, pp. 281-303

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The economic value of volatility timing with realized jumps

Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59

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Value at Risk (VaR) models : a comparative analysis of parametric and non parametric approaches

Ajassa, Giovanni (contributor); … - 1998

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

Brauchler, Ryan - 2012

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …

Persistent link: https://www.econbiz.de/10013100621