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Borke, Lukas
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1
FRM: A financial risk meter based on penalizing tail events occurrence
Yu, Lining
;
Härdle, Wolfgang Karl
;
Borke, Lukas
; …
-
2017
penalization
parameter () of a linear quantile
lasso
regression. The FRM is calculated by taking the average of the
penalization
…
Persistent link: https://www.econbiz.de/10011663444
Saved in:
2
RiskAnalytics: An R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile
lasso
regression methods
Borke, Lukas
-
2017
quantile
lasso
regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The ….quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating
lasso
penalized …
Persistent link: https://www.econbiz.de/10011663447
Saved in:
3
RiskAnalytics : an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile
lasso
regression methods
Borke, Lukas
-
2017
quantile
lasso
regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The ….quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating
lasso
penalized …
Persistent link: https://www.econbiz.de/10011619517
Saved in:
4
FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining
;
Härdle, Wolfgang
;
Borke, Lukas
;
Benschop, Thijs
-
2017
penalization
parameter () of a linear quantile
lasso
regression. The FRM is calculated by taking the average of the
penalization
…
Persistent link: https://www.econbiz.de/10011598919
Saved in:
5
An AI approach to measuring financial risk
Yu, Lining
;
Härdle, Wolfgang
;
Borke, Lukas
;
Benschop, Thijs
- In:
The Singapore economic review
68
(
2023
)
5
,
pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
Saved in:
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