79 citations · 86 across the 7 of their papers we have counts for
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econ.EM2022
Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates
Konstantin Görgen, Abdolreza Nazemi, Melanie Schienle
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We d…
q-fin.ST2022★ 2 cited
Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests
Rebekka Buse, Konstantin Görgen, Melanie Schienle
We study the prediction of Value at Risk (VaR) for cryptocurrencies. In contrast to classic assets, returns of cryptocurrencies are often highly volatile and characterized by large…