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A multivariate FGD technique to improve VaR computation in equity markets - MaRDI portal

A multivariate FGD technique to improve VaR computation in equity markets (Q2477608)

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A multivariate FGD technique to improve VaR computation in equity markets
scientific article

    Statements

    title
    A multivariate FGD technique to improve VaR computation in equity markets (English)
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    author
    Francesco Audrino
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    Giovanni Barone-Adesi
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    publication date
    14 March 2008
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    zbMATH Keywords
    functional gradient descent (FGD)
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    Identifiers

    zbMATH DE Number
    5249577
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    OpenAlex ID
    W2035683016
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