An improved model accuracy for forecasting risk measures: application of ensemble methods
Statistical-based predictions with extreme value theory improve the performance of the risk model not by choosing the model structure that is expected to predict the best but by developing a model whose results are a combination of models with different shapes. Using different ensemble algorithms to...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
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| Series: | Journal of Applied Economics |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/15140326.2024.2395775 |
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