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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Frontiers Media S.A.
2021
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| Materias: | |
| 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 |