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  • Search: subject:"Semiparametric support vector quantile regression"
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EWMA 1 GARCH 1 Quantile regression 1 Semiparametric support vector quantile regression 1 Value at risk 1 t-GARCH 1
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Hwang, Changha 1 Kim, Yongtae 1 Lee, Jangtaek 1 Shim, Jooyong 1
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Computational Statistics 1
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Estimating value at risk with semiparametric support vector quantile regression
Shim, Jooyong; Kim, Yongtae; Lee, Jangtaek; Hwang, Changha - In: Computational Statistics 27 (2012) 4, pp. 685-700
distributed. This paper proposes the estimation approach of VaR using semiparametric support vector quantile regression (SSVQR …
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