Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters.

Published in: OR (2015)

Keyphrases

short run
long run
investment strategies
risk management
high risk
futures market
data mining techniques
data sets
short term
case study
historical data
risk assessment
exchange rate
machine learning
risk measures
optimal policy
website
feature selection
risk analysis
natural disasters
risk averse
data mining
real time