Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation

This study proposes a metaheuristic for the selection of models among different Expected Shortfall (ES) estimation methods. The proposed approach, denominated “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to measure adaptively the ES, dynamically evaluating whi...

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Detalles Bibliográficos
Autores principales: Bagnato, Marco, Bottasso, Anna, Giribone, Pier Giuseppe
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Frontiers Media S.A. 2021
Materias:
Artificial Intelligence
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8438233/
https://www.ncbi.nlm.nih.gov/pubmed/34532705
http://dx.doi.org/10.3389/frai.2021.732805

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8438233/
https://www.ncbi.nlm.nih.gov/pubmed/34532705
http://dx.doi.org/10.3389/frai.2021.732805

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