Capturing deep tail risk via sequential learning of quantile dynamics (Q2007859): Difference between revisions
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| Property / DOI: 10.1016/j.jedc.2019.103771 / rank | |||
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| Property / DOI: 10.1016/J.JEDC.2019.103771 / rank | |||
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Latest revision as of 18:12, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Capturing deep tail risk via sequential learning of quantile dynamics |
scientific article |
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Capturing deep tail risk via sequential learning of quantile dynamics (English)
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22 November 2019
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dynamic quantile modeling
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parametric quantile functions
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time-varying higher-order conditional moments
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asymmetric heavy-tail distribution
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long short-term memory
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machine learning
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neural network
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VaR forecasts
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financial risk management
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