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Functional gradient descent for financial time series with an application to the measurement of market risk

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  • Audrino, Francesco
  • Barone-Adesi, Giovanni

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  • Audrino, Francesco & Barone-Adesi, Giovanni, 2005. "Functional gradient descent for financial time series with an application to the measurement of market risk," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 959-977, April.
    • Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:959-977
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    References listed on IDEAS

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    1. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
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    1. Klaus Wohlrabe & Teresa Buchen, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 231-242, July.
    2. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    3. Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall.
    4. Alexandros Agapitos & Anthony Brabazon & Michael O’Neill, 2017. "Regularised gradient boosting for financial time-series modelling," Computational Management Science, Springer, vol. 14(3), pages 367-391, July.
    5. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
    6. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    7. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
    8. Katarina Valaskova & Tomas Kliestik & Lucia Svabova & Peter Adamko, 2018. "Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis," Sustainability, MDPI, vol. 10(7), pages 1-15, June.

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