VaR and ES forecasting via recurrent neural network-based stateful models
Year of publication: |
2024
|
---|---|
Authors: | Qiu, Zhiguo ; Lazar, Emese ; Nakata, Keiichi |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 92.2024, Art.-No. 103102, p. 1-16
|
Subject: | Expected shortfall | Machine learning | Neural networks | Risk models | Value-at-Risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Neuronale Netze | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Rendite | Yield |
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