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Search: subject:"Nonparametric VaR"
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Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Forecasting model
3
Prognoseverfahren
3
Theorie
3
Theory
3
VAR model
3
VAR-Modell
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regression trees
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ARCH model
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BCD method
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Extreme value theory
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GARCH
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Macroeconomic forecasting
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Mathematical programming
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Mathematische Optimierung
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Medium-term forecast
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Nonparametric VAR
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Nonparametric VaR
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Outliers
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Portfolio selection
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Clark, Todd E.
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Huber, Florian
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Koop, Gary
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Pfarrhofer, Michael
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Cui, Xueting
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Friebel, Ludvík
1
Jiang, Rujun
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Krásnická, Martina
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Li, Duan
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Mrkvička, Tomáš
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Rolínek, Ladislav
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ECONIS (ZBW)
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Tail forecasting with multivariate Bayesian additive regression trees
Clark, Todd E.
;
Huber, Florian
;
Koop, Gary
;
Marcellino, …
-
2021
Persistent link: https://www.econbiz.de/10012489943
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2
Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš
;
Krásnická, Martina
;
Friebel, Ludvík
- In:
Studies in economics and finance
40
(
2023
)
1
,
pp. 175-191
Persistent link: https://www.econbiz.de/10013503890
Saved in:
3
Tail forecasting with multivariate bayesian additive regression trees
Clark, Todd E.
;
Huber, Florian
;
Koop, Gary
;
Marcellino, …
-
2022
Persistent link: https://www.econbiz.de/10013281184
Saved in:
4
Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting
;
Sun, Xiaoling
;
Zhu, Shushang
;
Jiang, Rujun
; …
- In:
INFORMS journal on computing : JOC
30
(
2018
)
3
,
pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
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