FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4382583755> ?p ?o ?g. }

• W4382583755 endingPage "312" @default.
• W4382583755 startingPage "312" @default.
• W4382583755 abstract "In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign exchange rate interbank market. We aim at improving existing methods for VaR prediction of currency investments using machine learning. We employ two different methods, i.e., ensemble methods and neural networks. Explanatory variables are implied volatilities with plausible economic interpretation. The forward-looking nature of the model, achieved by the application of implied volatilities as risk factors, ensures that new information is rapidly reflected in value-at-risk estimates. To the best of our knowledge, this study is the first to utilize information in the volatility surface, combined with machine learning and quantile regression, for VaR prediction of currency investments. The proposed ensemble models achieve good estimates across all quantiles. The light gradient boosting machine model and the categorical boosting model both yield estimates which are better than, or equal to, those of the benchmark model. In general, neural network models are quite unstable." @default.
• W4382583755 created "2023-06-30" @default.
• W4382583755 creator A5031314987 @default.
• W4382583755 creator A5040263919 @default.
• W4382583755 creator A5069867071 @default.
• W4382583755 date "2023-06-27" @default.
• W4382583755 modified "2023-10-16" @default.
• W4382583755 title "Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression" @default.
• W4382583755 cites W1586335931 @default.
• W4382583755 cites W1605981853 @default.
• W4382583755 cites W1972556330 @default.
• W4382583755 cites W1988611515 @default.
• W4382583755 cites W2016691324 @default.
• W4382583755 cites W2024230003 @default.
• W4382583755 cites W2057389198 @default.
• W4382583755 cites W2061160212 @default.
• W4382583755 cites W2064016956 @default.
• W4382583755 cites W2092176811 @default.
• W4382583755 cites W2131288139 @default.
• W4382583755 cites W2135177937 @default.
• W4382583755 cites W2150747312 @default.
• W4382583755 cites W2510538700 @default.
• W4382583755 cites W2561626562 @default.
• W4382583755 cites W2609559763 @default.
• W4382583755 cites W2755572593 @default.
• W4382583755 cites W2896579188 @default.
• W4382583755 cites W3123541581 @default.
• W4382583755 cites W3124597381 @default.
• W4382583755 cites W3124646784 @default.
• W4382583755 cites W3126187088 @default.
• W4382583755 cites W3144671682 @default.
• W4382583755 cites W3176183587 @default.
• W4382583755 cites W4225755349 @default.
• W4382583755 cites W4290990734 @default.
• W4382583755 cites W2187744099 @default.
• W4382583755 doi "https://doi.org/10.3390/jrfm16070312" @default.
• W4382583755 hasPublicationYear "2023" @default.
• W4382583755 type Work @default.
• W4382583755 citedByCount "0" @default.
• W4382583755 crossrefType "journal-article" @default.
• W4382583755 hasAuthorship W4382583755A5031314987 @default.
• W4382583755 hasAuthorship W4382583755A5040263919 @default.
• W4382583755 hasAuthorship W4382583755A5069867071 @default.
• W4382583755 hasBestOaLocation W43825837551 @default.
• W4382583755 hasConcept C10138342 @default.
• W4382583755 hasConcept C105795698 @default.
• W4382583755 hasConcept C118671147 @default.
• W4382583755 hasConcept C119857082 @default.
• W4382583755 hasConcept C141121606 @default.
• W4382583755 hasConcept C149782125 @default.
• W4382583755 hasConcept C154945302 @default.
• W4382583755 hasConcept C162324750 @default.
• W4382583755 hasConcept C169258074 @default.
• W4382583755 hasConcept C32896092 @default.
• W4382583755 hasConcept C33923547 @default.
• W4382583755 hasConcept C41008148 @default.
• W4382583755 hasConcept C46686674 @default.
• W4382583755 hasConcept C50644808 @default.
• W4382583755 hasConcept C556758197 @default.
• W4382583755 hasConcept C63817138 @default.
• W4382583755 hasConcept C70153297 @default.
• W4382583755 hasConcept C83546350 @default.
• W4382583755 hasConcept C91602232 @default.
• W4382583755 hasConcept C94128290 @default.
• W4382583755 hasConceptScore W4382583755C10138342 @default.
• W4382583755 hasConceptScore W4382583755C105795698 @default.
• W4382583755 hasConceptScore W4382583755C118671147 @default.
• W4382583755 hasConceptScore W4382583755C119857082 @default.
• W4382583755 hasConceptScore W4382583755C141121606 @default.
• W4382583755 hasConceptScore W4382583755C149782125 @default.
• W4382583755 hasConceptScore W4382583755C154945302 @default.
• W4382583755 hasConceptScore W4382583755C162324750 @default.
• W4382583755 hasConceptScore W4382583755C169258074 @default.
• W4382583755 hasConceptScore W4382583755C32896092 @default.
• W4382583755 hasConceptScore W4382583755C33923547 @default.
• W4382583755 hasConceptScore W4382583755C41008148 @default.
• W4382583755 hasConceptScore W4382583755C46686674 @default.
• W4382583755 hasConceptScore W4382583755C50644808 @default.
• W4382583755 hasConceptScore W4382583755C556758197 @default.
• W4382583755 hasConceptScore W4382583755C63817138 @default.
• W4382583755 hasConceptScore W4382583755C70153297 @default.
• W4382583755 hasConceptScore W4382583755C83546350 @default.
• W4382583755 hasConceptScore W4382583755C91602232 @default.
• W4382583755 hasConceptScore W4382583755C94128290 @default.
• W4382583755 hasIssue "7" @default.
• W4382583755 hasLocation W43825837551 @default.
• W4382583755 hasOpenAccess W4382583755 @default.
• W4382583755 hasPrimaryLocation W43825837551 @default.
• W4382583755 hasRelatedWork W2079454017 @default.
• W4382583755 hasRelatedWork W2209896448 @default.
• W4382583755 hasRelatedWork W2406249612 @default.
• W4382583755 hasRelatedWork W3151529617 @default.
• W4382583755 hasRelatedWork W3159988495 @default.
• W4382583755 hasRelatedWork W4229368883 @default.
• W4382583755 hasRelatedWork W4306740565 @default.
• W4382583755 hasRelatedWork W4309476815 @default.
• W4382583755 hasRelatedWork W52833984 @default.
• W4382583755 hasRelatedWork W1994492082 @default.

• next