Search Results - "Leung, Jessica Wai Yin"

Forecasting tail risk measures for financial time series: An extreme value approach with covariates by James, Robert, Leung, Henry, Leung, Jessica Wai Yin, Prokhorov, Artem

“…The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach…”
Get full text

New Metrics for Assessing Projection Pursuit Indexes, and Guiding Optimisation Choices by Zhang, H. Sherry, Cook, Dianne, Langrené, Nicolas, Leung, Jessica Wai Yin

“…The projection pursuit (PP) guided tour interactively optimises a criterion function known as the PP index, to explore high-dimensional data by revealing…”
Get full text