110 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Stevens Institute of TechnologyUS2 papers
- California Institute of TechnologyUS1 paper
- ESE Business SchoolCL1 paper
- Massachusetts Institute of TechnologyUS1 paper
- Princeton UniversityUS1 paper
- Sapienza University of RomeIT1 paper
- Technion – Israel Institute of TechnologyIL1 paper
- Universidad de NavarraES1 paper
Showing 2021Show all
2 papers · 1 filter
q-fin.RM2021★ 34 cited
Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation
Luca Merlo, Lea Petrella, Valentina Raponi
In this paper we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, exten…
cs.LG2021
Sequential Naive Learning
Itai Arieli, Yakov Babichenko, Manuel Mueller-Frank
We analyze boundedly rational updating from aggregate statistics in a model with binary actions and binary states. Agents each take an irreversible action in sequence after observi…