We propose a new machine-learning-based approach for forecasting Value-at-Risk (VaR) named CoFiE-NN where a neural network (NN) is combined with Cornish-Fisher expansions (CoFiE). CoFiE-NN can capture non-linear dynamics of high-order statistical moments thanks to the flexibility of a NN while...

With the advent of big data in economics machine learning algorithms become more and more appealing to economists. Despite some attempts of establishing artificial neural networks in in the early 1990s, only little is known about their ability of estimating causal effects in policy evaluation....