Cargando…
Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms
Scientific and effective tail risk measurement and early warning are key points and difficulties in the identification and control of major risks in capital markets. In this paper, we use the autoregressive conditional Fréchet model (AcF) to construct a tail risk measurement index for the capital ma...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2021
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8316898/ https://www.ncbi.nlm.nih.gov/pubmed/34334954 http://dx.doi.org/10.1007/s10614-021-10171-0 |