Modeling commodity value at risk with Psi Sigma neural networks using open-high-low-close data
Year of publication: |
2015
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Authors: | Sermpinis, Georgios ; Laws, Jason ; Dunis, Christian |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 316-336
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Subject: | artificial intelligence | forecasting | value at risk | extreme value theory | loss function | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Neuronale Netze | Neural networks | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Künstliche Intelligenz | Artificial intelligence |
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