Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid | Zendy

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Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid

Author(s) -

Marius Lux,

Wolfgang Karl Härdle,

Stefan Lessmann

Publication year - 2017

Publication title -

ssrn electronic journal

Language(s) - Uncategorized

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.3176951

Subject(s) - autoregressive conditional heteroskedasticity , value at risk , econometrics , value (mathematics) , statistics , computer science , mathematics , volatility (finance) , economics , risk management , finance

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