scholarly journals Quantile convolutional neural networks for Value at Risk forecasting

2021 ◽  
pp. 100096
Author(s):  
Gábor Petneházi
Keyword(s):  
Neural Networks ◽  
At Risk ◽  
Convolutional Neural Networks ◽  
Value At Risk ◽  
Risk Forecasting

Generalized value at risk forecasting

2019 ◽  
Vol 49 (20) ◽  
pp. 4988-4995 ◽  
Author(s):  
Aerambamoorthy Thavaneswaran ◽  
Alex Paseka ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting

Accurate value-at-risk forecasting based on the normal-GARCH model

2006 ◽  
Vol 51 (4) ◽  
pp. 2295-2312 ◽  
Author(s):  
Christoph Hartz ◽  
Stefan Mittnik ◽  
Marc Paolella
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Garch Model ◽  
Risk Forecasting

scholarly journals Modelling commodity value at risk with Psi Sigma neural networks using open–high–low–close data

2013 ◽  
Vol 21 (4) ◽  
pp. 316-336 ◽  
Author(s):  
Georgios Sermpinis ◽  
Jason Laws ◽  
Christian L. Dunis
Keyword(s):  
Neural Networks ◽  
At Risk ◽  
Value At Risk

Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 534-550 ◽  
Author(s):  
Richard Gerlach ◽  
Zudi Lu ◽  
Hai Huang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Laplace Distribution ◽  
Risk Forecasting
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