Forecasting value-at-risk using deep neural network quantile regression
Ilias Chronopoulos, Aristeidis Raftapostolos, and George Kapetanios
| Year of publication: |
2024
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|---|---|
| Authors: | Chronopoulos, Ilias ; Raftapostolos, Aristeidis ; Kapetanios, George |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 3, p. 636-669
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| 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 |
| 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