Heng-Guo Zhang, Libo Wu, Yan Song, Chi-Wei Su, Qingping Wang, Fei Su. An Online Sequential Learning Non-parametric Value-at-Risk Model for High-Dimensional Time Series. Cognitive Computation, 10(2):187-200, 2018. [doi]
@article{ZhangWSSWS18,
title = {An Online Sequential Learning Non-parametric Value-at-Risk Model for High-Dimensional Time Series},
author = {Heng-Guo Zhang and Libo Wu and Yan Song and Chi-Wei Su and Qingping Wang and Fei Su},
year = {2018},
doi = {10.1007/s12559-017-9516-y},
url = {https://doi.org/10.1007/s12559-017-9516-y},
researchr = {https://researchr.org/publication/ZhangWSSWS18},
cites = {0},
citedby = {0},
journal = {Cognitive Computation},
volume = {10},
number = {2},
pages = {187-200},
}