Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model (Q5034154)
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scientific article; zbMATH DE number 7480906
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| English | Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model |
scientific article; zbMATH DE number 7480906 |
Statements
Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model (English)
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24 February 2022
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conditional risk
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artificial intelligence models
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sparseness
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asymmetric Laplace distribution
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generalized error distribution
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0.8059142231941223
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0.8026562333106995
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0.8016841411590576
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0.7843137383460999
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0.7835403680801392
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