Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model

Nani, A; Gamoudi, I; El Ghourabi, M

Nani, A (reprint author), Univ Manouba, Quantitat Anal Res Grp QUARG, Manouba, Tunisia.

JOURNAL OF APPLIED STATISTICS, 2019; 46 (12): 2237

Abstract

Conditional risk measuring plays an important role in financial regulation and depends on volatility estimation. A new class of parameter models calle......

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