Tail risk forecasting with semi-parametric regression models by incorporating overnight information

By Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau

Published 2024-02-11

Everscope rating

1554.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Semi-parametric regression with Bayesian inference. Problem types: Time Series Forecasting, Risk Management.

arXiv:2402.07134 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.