Marius Lux

School of Business and Economics, Humboldt-University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

  • School of Business and Economics, Humboldt-University of Berlin

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Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid

IRTG 1792 Discussion Paper 2018-001
Number of pages: 26 Posted: 23 May 2018
Marius Lux, Wolfgang Karl Härdle and Stefan Lessmann
School of Business and Economics, Humboldt-University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
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Abstract:

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Value-at-Risk, Support Vector Regression, Kernel Density Estimation, GARCH