Wang, Jianzhou; Wang, Shuai; Lv, Mengzheng; Jiang, He - In: Financial innovation : FIN 10 (2024), pp. 1-35
proposes a VaR estimator by combining quantile regression with"Mogrifier" recurrent neural networks to capture the "long memory …" and"clustering" properties of financial assets; while for estimating ES, this study directly models the quantile of assets …