Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk

DOI10.1002/asmb.2212zbMath1420.91531OpenAlexW2553263266MaRDI QIDQ4620176

Xi Liu, Cuixia Jiang, Qifa Xu, Ke-ming Yu

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2212

zbMATH Keywords

neural networkquantileexpected shortfallvalue at riskexpectilesnonparametric conditional autoregressive expectiles

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05)

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