Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (Q2203392)
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scientific article; zbMATH DE number 7255799
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| English | Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid |
scientific article; zbMATH DE number 7255799 |
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Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (English)
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6 October 2020
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value-at-risk
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support vector regression
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kernel density estimation
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GARCH
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0.7865053415298462
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0.7855027914047241
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0.7843137383460999
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0.7770938873291016
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0.7677069902420044
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