Browsing by Keywords "Value-at-Risk"
Now showing items 1-2 of 2
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Extreme value theory and Value-at-Risk: relative performance in emerging markets
(Elsevier BV, 2004)In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as ... -
Risk-averse multi-class support vector machines
(Bilkent University, 2018-12)A classification problem aims to identify the class of new observations based on the previous observations whose classes are known. It has many applications in a variety of disciplines such as medicine, finance and ...