Forecasting value-at-risk using deep neural network quantile regression
Ilias Chronopoulos, Aristeidis Raftapostolos, and George Kapetanios
| Year of publication: |
2024
|
|---|---|
| Authors: | Chronopoulos, Ilias ; Raftapostolos, Aristeidis ; Kapetanios, George |
| Subject: | forecasting | machine learning | neural networks | quantile regression | value-at-risk | Neuronale Netze | Neural networks | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045167