Capturing deep tail risk via sequential learning of quantile dynamics
Qi Wu, Xing Yan
| Year of publication: |
2019
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|---|---|
| Authors: | Wu, Qi ; Yan, Xing |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 109.2019, p. 1-17
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| Subject: | Asymmetric heavy-tail distribution | Dynamic quantile modeling | Financial risk management | Long short-term memory | Machine learning | Neural network | Parametric quantile functions | Time-varying higher-order conditional moments | VaR Forecasts | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Statistische Verteilung | Statistical distribution | Künstliche Intelligenz | Artificial intelligence | Risikomanagement | Risk management | Volatilität | Volatility | Lernprozess | Learning process | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Momentenmethode | Method of moments | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103771 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314027