Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange
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- Herman Mørkved Blom & Petter Eilif de Lange & Morten Risstad, 2023. "Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression," JRFM, MDPI, vol. 16(7), pages 1-23, June.
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Keywords
quantum mechanics; wave function; extreme value analysis; Bayesian inference; stock market; Value at Risk (VaR); Expected Shortfall (ES); prediction;All these keywords.
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