Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market.
Toan Luu Duc HuynhSang Phu NguyenDuy DuongPublished in: ECONVN (2018)
Keyphrases
- stock market
- financial markets
- quantile regression
- investment strategies
- market data
- portfolio optimization
- risk management
- stock price
- cross validated
- least squares
- trading rules
- short term
- portfolio selection
- stock exchange
- financial time series
- stock returns
- financial data
- financial information
- portfolio management
- investment decisions
- stock index futures
- stock data
- cross validation
- risk assessment
- machine learning
- listed companies
- exchange rate
- response variable
- training set