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Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement
16 references·0 citing·41 second hop
Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement (2022)Encoded Value-at-Risk: A machine learning…Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018)Forecasting risk with Markov-…Advances in Financial Machine Learning (2018)Advances in Financial Machine…A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger (2016)A discussion on: Of Quantiles…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters (2009)Comparing the Point Predictio…Methods for Evaluating Value-at-Risk Estimates (2007)Methods for Evaluating Value-…Estimating Value at Risk and Expected Shortfall Using Expectiles (2007)Estimating Value at Risk and …Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004)Forecasting volatility: A rea…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…CAViaR (2004)CAViaRSelection of Value‐at‐Risk models (2003)Selection of Value‐at‐Risk mo…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency (1983)Empirical Studies of Exchange…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Coherent Measures of Risk (1999)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Assessing value at risk with CARE, the Conditional Autoregressive Expectile models (2008)Risk management with expectiles (2015)Dynamic semiparametric models for expected shortfall (and Value-at-Risk) (2019)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting economic and financial time-series with non-linear models (2004)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Extreme Value Theory and Value at Risk: Application to oil market (2009)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Differences of Opinion and the Cross Section of Stock Returns (2002)Measuring Expectations (2004)The Walk‐down to Beatable Analyst Forecasts: The Role of Equity Issuance and Insider Trading Incentives* (2004)Chapter 14 Survey Expectations (2006)UNEMPLOYED BUT OPTIMISTIC: OPTIMAL INSURANCE DESIGN WITH BIASED BELIEFS (2014)Home Price Expectations and Behaviour: Evidence from a Randomized Information Experiment (2018)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Machine Learning for Stock Selection (2019)Machine learning in finance: A topic modeling approach (2021)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2004CAViaR2,210 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2009Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters353 cited
  • 2018Advances in Financial Machine Learning342 cited
  • 2007Estimating Value at Risk and Expected Shortfall Using Expectiles309 cited
  • 2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood224 cited
  • 1983Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency206 cited
  • 2003Selection of Value‐at‐Risk models190 cited
  • 2007Methods for Evaluating Value-at-Risk Estimates186 cited
  • 2016A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger

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171 cited
  • 2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study167 cited
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