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Neural networks are a relatively young developmental area. They imitate the principles of the biological brain and can therefore be variously applied in different fields. Neural networks have a characteristic of learning. They solve problems in a similar way as the biological brain. Neural...
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In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated. Random sample of 1000 foreign exchange portfolios consisting of positions in EUR and USD with CZK as a base currency was considered. Since foreign exchange portfolio consists of...
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