Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
Crossref DOI link: https://doi.org/10.1007/s00180-019-00934-7
Published Online: 2019-11-13
Published Print: 2020-09
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Lux, Marius
Härdle, Wolfgang Karl
Lessmann, Stefan http://orcid.org/0000-0001-7685-262X
Funding for this research was provided by:
Deutsche Forschungsgemeinschaft (IRTG 1792)
Text and Data Mining valid from 2019-11-13
Version of Record valid from 2019-11-13
Article History
Received: 19 June 2018
Accepted: 30 October 2019
First Online: 13 November 2019