Combining Value-at-Risk forecasts using penalized quantile regressions

Author:

Bayer Sebastian

Funder

German Research Foundation

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference67 articles.

1. A detailed comparison of value at risk estimates;Abad;Math. Comput. Simul.,2013

2. Persistence in forecasting performance and conditional combination strategies;Aiolfi;J. Econometrics,2006

3. A survey of cross-validation procedures for model selection;Arlot;Stat. Surv.,2010

4. VaR without correlations for portfolios of derivative securities;Barone-Adesi;J. Futures Markets,1999

5. Overview of the amendment to the Capital Accord to incorporate market risks;Basel Committee on Banking Supervision,1996

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