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Sessi Tokpavi · Study
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Author
Sessi Tokpavi
8 works
· latest 2021
· 4 institutions
cluster: provisional
ORCID 0000-0002-9187-8083
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Citations
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Most cited in this library
Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
2021 · 438 citations
A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion
n.d. · 118 citations
Backtesting Value-at-Risk: A GMM Duration-Based Test
2010 · 108 citations
Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
2015 · 62 citations
Measuring network systemic risk contributions: A leave-one-out approach
2018 · 53 citations
Works
8 shown
Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
European Journal of Operational Research
·
2021
·
4 authors
·
Open access
438
citations
Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds
SSRN Electronic Journal
·
2020
·
4 authors
·
preprint
·
Open access
28
citations
Stocks and bonds: Flight-to-safety for ever?
Journal of International Money and Finance
·
2019
·
2 authors
·
Open access
33
citations
Measuring network systemic risk contributions: A leave-one-out approach
Journal of Economic Dynamics and Control
·
2018
·
3 authors
·
Open access
53
citations
Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
European Journal of Operational Research
·
2015
·
3 authors
·
Open access
62
citations
Backtesting Value-at-Risk: A GMM Duration-Based Test
Journal of Financial Econometrics
·
2010
·
4 authors
·
Open access
108
citations
Backtesting value-at-risk accuracy: a simple new test
The Journal of Risk
·
2007
·
2 authors
48
citations
A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion
RePEc: Research Papers in Economics
·
2 authors
·
preprint
118
citations