Value at risk estimation under stochastic volatility models using adaptive PMCMC methods.
Xinxia YangRatthachat ChatpatanasiriPairote SattayathamPublished in: Commun. Stat. Simul. Comput. (2017)
Keyphrases
- statistical models
- significant improvement
- computational cost
- estimation problems
- monte carlo simulation
- machine learning algorithms
- predictive power
- linear regression
- machine learning methods
- complex systems
- preprocessing
- model selection
- empirical studies
- data sets
- data mining techniques
- support vector machine
- probability distribution
- stock market
- statistical methods
- probabilistic model
- hybrid model
- decision making
- stochastic processes
- stochastic models
- neural network