Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]
Ann Oper Res, 2023 Candila V, Gallo GM, Petrella L.
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Backtesting European Stress Tests
, 2017 We provide a first evaluation of the quality of banking stress tests in the European Union. We use stress tests scenarios and banks' estimated losses to recover bank level exposures to macroeconomic factors. Once macro outcomes are realized, we predict banks' losses and compare them to actual losses.
Thomas Philippon +2 more
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Deep learning in the stock market-a systematic survey of practice, backtesting, and applications. [PDF]
Artif Intell Rev, 2023 Olorunnimbe K, Viktor H.
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Photosynthetic performance of walnut leaves during the occurrence of leaf scorch. [PDF]
Photosynthetica, 2023 Wang SW +7 more
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TARFA: A Novel Approach to Targeted Accounting Range Factor Analysis for Asset Allocation. [PDF]
Entropy (Basel)de Leon JJ, Medda F.
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Backtesting VaR under the COVID-19 sudden changes in volatility. [PDF]
Financ Res Lett, 2021 Castillo B, León Á, Ñíguez TM.
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Flexible Target Prediction for Quantitative Trading in the American Stock Market: A Hybrid Framework Integrating Ensemble Models, Fusion Models and Transfer Learning. [PDF]
Entropy (Basel)Yan K +6 more
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Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies. [PDF]
Front Appl Math StatSubramoney SD, Chinhamu K, Chifurira R.
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Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
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