Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model-Reference-Cited by-同舟云学术

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Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model

Published:2019-02-27 Issue:12 Volume:46 Page:2237-2253
ISSN:0266-4763
Container-title:Journal of Applied Statistics
language:en
Short-container-title:Journal of Applied Statistics

Author:

Nani Asma¹,Gamoudi Imed¹²,El Ghourabi Mohamed¹³

Affiliation:

1. Quantitative Analysis Research Group (Q.U.A.R.G.), University of Manouba, Manouba, Tunisia

2. Department of Management Information Systems, College of Business Administration, Taibah University, Almadinah Almunawarrah, Saudi Arabia

3. Department of Finance and Economics, College of Business, University of Jeddah, Makkah, Saudi Arabia

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/02664763.2019.1584161

Reference32 articles.

1. Modelling of runoff and sediment yield using ANN, LS-SVR, REPTree and M5 models

2. Generalized autoregressive conditional heteroskedasticity

3. M. Chandorkar, Fixed size least squares support vector machines: A scala based programming framework for large scale classification, Ph.D. diss., KU Leuven, 2015.

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