Blar i Institutt for samfunnsøkonomi på tidsskrift "Journal of Risk and Financial Management"
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Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression
(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 ...