Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Heng-Guo Zhang, Chi-Wei Su, Yan Song, Shuqi Qiu, Ran Xiao, Fei Su
| Year of publication: |
December 2017
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|---|---|
| Authors: | Zhang, Heng-Guo ; Su, Chi-Wei ; Song, Yan ; Qiu, Shuqi ; Xiao, Ran ; Su, Fei |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 67.2017, p. 355-367
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| Subject: | Extreme learning machine | High-dimensional space | Value-at-Risk | Random mapping | GARCH model | Time series | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.02.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813839