---
title: Machine Learning and Modern Econometrics for Tail-Risk Protection
url: https://www.ml-quant.com/papers/ssrn/4540499/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4540499
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4540499
featured: 2023-08-17
citations: unknown
topic: Econometrics & Forecasting
---


# Machine Learning and Modern Econometrics for Tail-Risk Protection

The study introduces a dynamic tail risk protection strategy using machine learning, comparing various methods and suggesting an ensemble classifier for better performance.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4540499
- Identifier: SSRN 4540499
- Released: 2020-12-02
- First featured: Quant Letter No. 12 (2023-08-17): https://www.ml-quant.com/issues/2023-08-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting

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