Estimating market risk with neural networks

DOI10.1524/stnd.2006.24.2.233zbMath1136.62381OpenAlexW1525390208MaRDI QIDQ5386287

Mabouba Diagne, Jürgen Franke

Publication date: 14 May 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2006.24.2.233

zbMATH Keywords

market riskGARCH processexpected shortfallbacktestingARCH process

Mathematics Subject Classification ID

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