Next generation models for portfolio risk management : an approach using financial big data
Year of publication: |
2022
|
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Authors: | Jung, Kwangmin ; Kim, Donggyu ; Yu, Seunghyeon |
Published in: |
The journal of risk & insurance. - Malvern, Pa. : American Risk and Insurance Ass., ISSN 1539-6975, ZDB-ID 2066637-8. - Vol. 89.2022, 3, p. 765-787
|
Subject: | factor model | value at risk | blessing of dimensionality | financial big data | multivariate GARCH | principal component analysis | Portfolio-Management | Portfolio selection | Big Data | Big data | Risikomanagement | Risk management | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Faktorenanalyse | Factor analysis | Hauptkomponentenanalyse | Principal component analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | Data Mining | Data mining |
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