VaR and ES forecasting via recurrent neural network-based stateful models
Zhiguo Qiu, Emese Lazar, Keiichi Nakata
| Year of publication: |
2024
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|---|---|
| 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
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| Subject: | Expected shortfall | Machine learning | Neural networks | Risk models | Value-at-Risk | Neuronale Netze | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2024.103102 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014492387