Forecasting Value-at-Risk with a duration-based POT method.
Paulo Araújo SantosM. Isabel Fraga AlvesPublished in: Math. Comput. Simul. (2013)
Keyphrases
- experimental evaluation
- high precision
- similarity measure
- optimization method
- clustering method
- theoretical analysis
- high accuracy
- image segmentation
- preprocessing
- computational cost
- decision making
- error rate
- pairwise
- computational complexity
- neural network
- classification accuracy
- support vector machine
- long term
- evolutionary algorithm
- detection algorithm
- decision trees
- statistical methods
- evaluation method