Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is value-at-risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation of ri...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/skbi/1 https://ink.library.smu.edu.sg/context/skbi/article/1001/viewcontent/Data_driven_Value_at_risk_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |