Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach
Keyword: Curse Of Dimensionality
Abstract
This paper develops a Factor-Copula methodology for constructing high-dimensional dynamic tail risk networks based on the conditional expected shortfall (CoES) in order to overcome the limi… [+55363 chars]
Read Full Story ↗
Related Content
-
Related Story Decoding visual object recognition from EEG signals
-
Related Story mlreadyscore added to PyPI
SaaS Metrics