scholarly journals Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid

2017 ◽  
Author(s):  
Marius Lux ◽  
Wolfgang K. HHrdle ◽  
Stefan Lessmann
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Data Driven ◽  
Risk Forecasting

scholarly journals Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid

2019 ◽  
Vol 35 (3) ◽  
pp. 947-981 ◽  
Author(s):  
Marius Lux ◽  
Wolfgang Karl Härdle ◽  
Stefan Lessmann
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Data Driven ◽  
Risk Forecasting

Generalized value at risk forecasting

2019 ◽  
Vol 49 (20) ◽  
pp. 4988-4995 ◽  
Author(s):  
Aerambamoorthy Thavaneswaran ◽  
Alex Paseka ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting

Accurate value-at-risk forecasting based on the normal-GARCH model

2006 ◽  
Vol 51 (4) ◽  
pp. 2295-2312 ◽  
Author(s):  
Christoph Hartz ◽  
Stefan Mittnik ◽  
Marc Paolella
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Garch Model ◽  
Risk Forecasting

Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 534-550 ◽  
Author(s):  
Richard Gerlach ◽  
Zudi Lu ◽  
Hai Huang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Laplace Distribution ◽  
Risk Forecasting

Generalized Value at Risk Forecasting

2018 ◽  
Author(s):  
Alex Paseka ◽  
A. Thavaneswaran ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting
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