Zobrazeno 1 - 1
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pro vyhledávání: '"Risstad, Herman Mørkved Blom"'
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 7; Pages: 312
In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=multidiscipl::da061acc5e7769c2d8028f700b99bf5d
