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How to pick the best regression equation : a review and comparison of model selection algorithms
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2009
Persistent link: https://www.econbiz.de/10008667753
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Using model selection algorthims to obtain reliable coefficient estimates
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2011
Persistent link: https://www.econbiz.de/10009012239
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Should investors avoid all actively managed mutual funds? : A study in Bayesian performance evaluatin
Baks, Klaas; Metrick, Andrew; Wachter, Jessica - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 45-85
Persistent link: https://www.econbiz.de/10001575059
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Should investors avoid all actively managed mutual funds? : A study in Bayesian performance evaluation
Baks, Klaas; Metrick, Andrew; Wachter, Jessica - 1999
Persistent link: https://www.econbiz.de/10001409820
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - 2011
via univariate and multivariate analysis of the data, and an EM-algorithm is developed for its estimation in conjunction … numerically reliable estimation. Crucially, the distribution theory required for portfolio theory and risk assessment is developed …. density forecasting, EM-algorithm, fat tails, mixture distributions, multivariate laplace distribution, Quasi …
Persistent link: https://www.econbiz.de/10009375153
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Using model selection algorithms to obtain reliable coefficient estimates
Castle, Jennifer; Qin, Xiaochuan; Reed, W. Robert - In: Journal of economic surveys 27 (2013) 2, pp. 269-296
Persistent link: https://www.econbiz.de/10009759973
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A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
Baranochnikov, Illia; Ślepaczuk, Robert - 2022
Persistent link: https://www.econbiz.de/10013473692
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Statistical modelling of downside risk spillovers
Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012321946
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
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On algorithm portfolios and restart strategies
Shylo, Oleg V.; Prokopyev, Oleg A.; Rajgopal, Jayant - In: Operations research letters 39 (2011) 1, pp. 49-52
Persistent link: https://www.econbiz.de/10008857508