Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach.

Khreshna Syuhada Risti Nur'aini Mahfudhotin

Published in: J. Appl. Math. (2020)

Keyphrases

simulation model
similarity measure
long term
distance measure
pointwise mutual information
data sets
website
clustering algorithm
decision trees
feature space
simulation study
simulation models
early warning
regularized kernel