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Weizhong Zhang
Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
Xing Yan, Weizhong Zhang, Lin Ma, Wei Liu, Qi Wu
We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns.
Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
Xing Yan, Weizhong Zhang, Lin Ma, Wei Liu, Qi Wu
Neural Information Processing Systems http://nips.cc/