A mutual information based R-vine copula strategy to estimate VaR in high frequency stock market data.
In this paper, we explore mutual information based stock networks to build regular vine copula structure on high frequency log returns of stocks and use it for the estimation of Value at Risk (VaR) of a portfolio of stocks. Our model is a data driven model that learns from a high frequency time seri...
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Public Library of Science (PLoS)
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/6cf26294a5e149308a1dfffef7fa3c8c |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|