"Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid."

Marius Lux, Wolfgang Karl Härdle, Stefan Lessmann (2020)

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DOI: 10.1007/S00180-019-00934-7

access: closed

type: Journal Article

metadata version: 2020-10-26

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Marius Lux, Wolfgang Karl Härdle, Stefan Lessmann:
Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. Comput. Stat. 35(3): 947-981 (2020)

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