SSRNEconometrics & Forecasting
Forecasting Financial Risk with Quantile RF
The study introduces a financial risk forecasting model using Generalized Quantile Random Forests, which offers competitive risk and shortfall forecasts and generates appealing Sharpe, Sortino, and Omega ratios.
Featured in No. 7 on 12 Jul 2023 ·
- Released
- 17 Jan 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4504950
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).