Blar i Institutt for internasjonal forretningsdrift på forfatter "Blom, Herman Mørkved"
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Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression
Blom, Herman Mørkved; de Lange, Petter Eilif; Risstad, Morten (Peer reviewed; Journal article, 2023)In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from ...