Scenario generation for financial data with a machine learning approach based on realized volatility and copulas
Caio Mário Mesquita, Cristiano Arbex Valle, Adriano César Machado Pereira
| Year of publication: |
2024
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|---|---|
| Authors: | Mesquita, Caio Mário ; Valle, Cristiano Arbex ; Pereira, Adriano César Machado |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 5, p. 1879-1919
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| Subject: | Machine learning | Supervised learning | Realized volatility | Portfolio optimisation | Künstliche Intelligenz | Artificial intelligence | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Lernen | Learning | Lernprozess | Learning process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10387-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014550838