Capturing deep tail risk via sequential learning of quantile dynamics (Q2007859)
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scientific article; zbMATH DE number 7135264
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Capturing deep tail risk via sequential learning of quantile dynamics |
scientific article; zbMATH DE number 7135264 |
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Capturing deep tail risk via sequential learning of quantile dynamics (English)
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22 November 2019
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dynamic quantile modeling
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parametric quantile functions
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time-varying higher-order conditional moments
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asymmetric heavy-tail distribution
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long short-term memory
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machine learning
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neural network
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VaR forecasts
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financial risk management
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0.83370435
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0.8297833
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0.82541806
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0.8206879
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0.81806374
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0.8173776
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0.8147327
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0.81441844
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0.81002307
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