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Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms
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Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms (2024)Tail Risk Alert Based on Conditional Auto…International Journal of Research Publication and Reviews (2022)International Journal of Rese…A review on genetic algorithm: past, present, and future (2020)A review on genetic algorithm…FX intervention and domestic credit: evidence from high-frequency micro data (2019)FX intervention and domestic …Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture (2019)Dynamics of volatility spillo…The dynamic relationship between stock, bond and foreign exchange markets (2015)The dynamic relationship betw…Decomposing European bond and equity volatility (2008)Decomposing European bond and…CAViaR: Conditional Value at Risk by Quantile Regression (1999)CAViaR: Conditional Value at …Macroeconomics and Reality (1980)Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries (2016)Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period (2023)U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging (2023)Measuring and Testing the Impact of News on Volatility (1993)VAR: Seductive but Dangerous (1995)Evaluating Interval Forecasts (1998)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Biases in Dynamic Models with Fixed Effects (1981)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Estimation and Inference of Impulse Responses by Local Projections (2005)Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit, and Global Financial Cycles (2018)The Spillovers from Easy Liquidity and the Implications for Multilateralism (2019)Original sin redux: a model-based evaluation (2022)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness (2021)Dynamic Connectedness among the Implied Volatilities of Oil Prices and Financial Assets: New Evidence of the COVID-19 Pandemic (2022)Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities (2022)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies (2007)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Co-movement between equity and bond markets (2017)Understanding Big Data: Analytics for Enterprise Class Hadoop and Streaming Data (2011)Challenges and opportunities with big data (2012)Restorative justice practices: Bridging the gap between offenders and victims effectively (2024)A Comprehensive Review on RSM-Coupled Optimization Techniques and Its Applications (2023)Integration of IoT-Enabled Technologies and Artificial Intelligence (AI) for Smart City Scenario: Recent Advancements and Future Trends (2023)Loan default prediction using a credit rating-specific and multi-objective ensemble learning scheme (2023)
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References

  • 2020A review on genetic algorithm: past, present, and future4,644 cited
  • 2019Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture184 cited
  • 1999CAViaR: Conditional Value at Risk by Quantile Regression109 cited
  • 2022International Journal of Research Publication and Reviews91 cited
  • 2019FX intervention and domestic credit: evidence from high-frequency micro data61 cited
  • 2008Decomposing European bond and equity volatility31 cited
  • 2015The dynamic relationship between stock, bond and foreign exchange markets22 cited

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