A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Nalan Baştürk, Peter Schotman, Hugo Schyns
| Year of publication: |
[2022]
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|---|---|
| Authors: | Baştürk, Nalan ; Schotman, Peter C. ; Schyns, Hugo |
| Publisher: |
[Tilburg] : Netspar, Network for Studies on Pensions, Aging and Retirement |
| Subject: | Neural Network | Value-at-Risk | Volatility Models | Equity Returns | Risk Management | Theorie | Theory | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Volatilität | Volatility | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Experiment | Risikomanagement | Risk management |
freely available
| Extent: | 1 Online-Ressource (circa 32 Seiten) Illustrationen |
|---|---|
| Series: | Netspar academic series. - [Tilburg] : [Netspar, Network for Studies on Pensions, Aging and Retirement], ZDB-ID 3051979-2. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539142