Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk (Q4620176)
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scientific article; zbMATH DE number 7015472
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| English | Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk |
scientific article; zbMATH DE number 7015472 |
Statements
Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk (English)
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8 February 2019
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expectiles
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quantile
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neural network
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nonparametric conditional autoregressive expectiles
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value at risk
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expected shortfall
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0.8403518199920654
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0.8023707270622253
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0.7759440541267395
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0.7743647694587708
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