Semi-parametric financial risk forecasting incorporating multiple realized measures

By H. Rangika Iroshani Peiris, Chao Wang, Richard Gerlach, Minh-Ngoc Tran

Published 2024-06-14

Everscope rating

1583.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Realized-ES-CAViaR-M. Problem types: Time Series Forecasting, Risk Management.

arXiv:2402.09985 · Paper rankings

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