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HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
Woźniak, Michał; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012795164
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Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012795166
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Novel multilayer stacking framework with weighted ensemble approach for multiclass credit scoring problem application
Stelmach, Marek; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322114
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Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322119
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Towards better understanding of complex machine learning models using explainable Artificial Intelligence (XAI) : case of Credit Scoring modelling
Kłosok, Marta; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322173
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HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322189
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709