Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression
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- Farid Bagheri & Diego Reforgiato Recupero & Espen Sirnes, 2023. "Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation," Data, MDPI, vol. 8(8), pages 1-22, August.
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Keywords
value-at-risk; over-the-counter foreign exchange (OTC FX) options; quantile regression; machine learning (ML);All these keywords.
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