Abstract: Vector autoregressive (VAR) models have long been valued for their comprehensive representation capabilities in signal processing. However, this requires learning a matrix of parameters that ...
95% VaR Backtest: SPY PASS (16/11.5 exceptions), QQQ PASS (15/11.5 exceptions) 99% VaR Backtest: SPY FAIL (5/2.3 exceptions), QQQ FAIL (5/2.3 exceptions) Note: 99% VaR shows FAIL due to short sample ...
Heil, with corporate headquarters in Chattanooga, Tennessee, and a manufacturing facility in Payne, Alabama, has introduced its Common Body platform, an engineering advancement that brings together ...
ABSTRACT: This study investigates the application of cumulative link models with alternative distributions (hyperbolic secant, Laplace, and Cauchy) to model ordinal outcomes of depressive severity ...
Abstract: High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on ...
Cybersecurity researchers have discovered vulnerable code in legacy Python packages that could potentially pave the way for a supply chain compromise on the Python Package Index (PyPI) via a domain ...
This is a production-quality Market Risk Value-at-Risk (VaR) system implementing industry-standard methodologies used in major investment banks (HSBC, Barclays, JPMC, Standard Chartered). The system ...
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