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Comparison of Value-at-Risk models using the MCS approach.

Mauro BernardiLeopoldo Catania
Published in: Comput. Stat. (2016)
Keyphrases
  • databases
  • probabilistic model
  • process model
  • data sets
  • neural network
  • data mining
  • machine learning
  • training data
  • multiscale
  • pattern recognition
  • hidden markov models
  • complex systems
  • bayesian framework