Tail risk forecasting with semi-parametric regression models by incorporating overnight information
By Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau
Rating
1555
Battle Count: 25
Relevance
9/10
Highly relevant for risk management in quantitative trading strategies, especially for overnight risk assessment
Implementation Complexity
7/10
Requires implementation of Bayesian MCMC methods and complex model structures
Reproducibility
4/5
Detailed methodology and evaluation procedures provided, but no explicit code repository mentioned
About this paper
Methodology: Semi-parametric regression with Bayesian inference. Problem types: Time Series Forecasting, Risk Management.
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