Estimating value at risk with semiparametric support vector quantile regression
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- He, Yaoyao & Liu, Rui & Li, Haiyan & Wang, Shuo & Lu, Xiaofen, 2017. "Short-term power load probability density forecasting method using kernel-based support vector quantile regression and Copula theory," Applied Energy, Elsevier, vol. 185(P1), pages 254-266.
- Qifa Xu & Cuixia Jiang & Yaoyao He, 2016. "An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(2), pages 285-320, June.
More about this item
KeywordsEWMA; GARCH; t-GARCH; Quantile regression; Semiparametric support vector quantile regression; Value at risk;
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