Open AccessCombination of Value-at-Risk Models with Support Vector Machine
Author(s) -
YongTae Kim,
Jooyong Shim,
Jang-Taek Lee,
Chong-Sun Hwang
Publication year - 2009
Publication title -
communications for statistical applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.326
H-Index - 6
eISSN - 2383-4757
pISSN - 2287-7843
DOI - 10.5351/ckss.2009.16.5.791
Subject(s) - value at risk , vector autoregression , autoregressive conditional heteroskedasticity , econometrics , support vector machine , quantile regression , value (mathematics) , market risk , quantile , expected shortfall , selection (genetic algorithm) , risk measure , model selection , computer science , mathematics , statistics , economics , risk management , artificial intelligence , financial economics , volatility (finance) , finance , portfolio