Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid.
Marius LuxWolfgang Karl HärdleStefan LessmannPublished in: Comput. Stat. (2020)
Keyphrases
- data driven
- support vector regression
- exchange rate
- garch model
- early warning
- forecasting accuracy
- short term
- support vector
- forecasting model
- high risk
- decision making
- regression model
- support vector machine svm
- support vector machine
- immune algorithm
- kernel density estimation
- wavelet analysis
- investment decisions
- extreme learning machine
- hybrid model
- risk management
- risk measures
- stock market
- kernel function
- multiresolution
- electronic equipment
- optimal parameters
- long run
- prediction model
- long term
- pattern recognition
- training data