An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
type: Item
instance of: scholarly article
title: An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
zbMATH Open document ID: 1405.62044
author: Qifa Xu
author: Cuixia Jiang
author: Yaoyao He
published in: Statistical Methods and Applications
publication date: 2017-08-08T00:00:00Z
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6758807
zbMATH Keywords: quantile regression
zbMATH Keywords: exponential weighting
zbMATH Keywords: support vector machine
zbMATH Keywords: SVEWQR
zbMATH Keywords: financial risk
zbMATH Keywords: value at risk
describes a project that uses: RiskMetrics
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: s10260-015-0332-9
OpenAlex ID: W2187744099
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cites work: Q3093390
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DOI: 10.1007/S10260-015-0332-9
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description: scientific article; zbMATH DE number 6758807