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Displaying results 1 to 6 of 6.

  1. Investigating growth at risk using a multi-country non-parametric quantile factor model
    Author: Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano; Pfarrhofer, Michael
    Published: [2023]
    Publisher:  Department of Economics, University of Strathclyde, Glasgow

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 88
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Strathclyde discussion papers in economics ; no. 23, 7
    Subjects: non-parametric regression; regression trees; forecasting
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Investigating growth-at-risk using a multicountry non-parametric quantile factor model
    Author: Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano; Pfarrhofer, Michael
    Published: 24 October 2023
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18549
    Subjects: macroeconomic forecasting; non-parametric regression; regression trees; spillovers
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  3. Application of machine learning in quantitative investment strategies on global stock markets
    Author: Grudniewicz, Jan; Ślepaczuk, Robert
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Nicht speichern
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 23 = 371
    Subjects: quantitative investment strategies; machine learning; neural networks; regression trees; random forests; support vector machine; technical analysis; equity stock indices; developed and emerging markets; information ratio
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Tail forecasting with multivariate bayesian additive regression trees
    Author: Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano; Pfarrhofer, Michael
    Published: 12 July 2022
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17461
    Subjects: Nonparametric VAR; regression trees; Macroeconomic forecasting; Scenario analysis
    Scope: 1 Online-Ressource (circa 63 Seiten)
  5. Ensemble Learning for Portfolio Valuation and Risk Management
    Author: Boudabsa, Lotfi; Filipović, Damir
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is... more

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    Verlag (kostenfrei)

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given in closed form. The method is fast and accurate, and scales well with sample size and path space dimension. The method can also be applied to Bermudan style options. Numerical experiments show good results in moderate dimension problems

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 22, 30
    Subjects: dynamic portfolio valuation; ensemble learning; gradient boosting; random forest; regression trees; risk management; Bermudan options
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. Tail forecasting with multivariate Bayesian additive regression trees
    Author: Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano; Pfarrhofer, Michael
    Published: 2021
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 36
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Cleveland ; 21, 08 (March 2021)
    Subjects: nonparametric VAR; regression trees; macroeconomic forecasting
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen