An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10260-015-0332-9.pdf
Reference32 articles.
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3. Chen CWS, Gerlach R, Hwang BBK, McAleer M (2012) Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range. Int J Forecast 28:557–574
4. Christoffersen P, Pelletier D (2004) Backtesting value-at-risk: a duration-based approach. J Financ Econom 2:84–108
5. Corsi F (2009) A simple approximate long-memory model of realized volatility. J Financ Econom 7:174–196
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