Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk-Reference-Cited by-同舟云学术

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Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk

Published:2016-11 Issue:6 Volume:32 Page:882-908
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Xu Qifa¹²,Liu Xi¹,Jiang Cuixia¹,Yu Keming³

Affiliation:

1. School of Management; Hefei University of Technology; Hefei 230009 China

2. Key Laboratory of Process Optimization and Intelligent Decision-making; Ministry of Education; Hefei 230009 China

3. Department of Mathematics; Brunel University London; Uxbridge UB8 3PH Uk

Funder

National Natural Science Foundation of China

National Social Science Foundation of China

Humanity and Social Science Foundation of Ministry of Education of China

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference35 articles.

1. Estimating value at risk and expected shortfall using expectiles;Taylor;Journal of Financial Econometrics,2008

2. CAViaR: conditional autoregressive value at risk by regression quantiles;Engle;Journal of Business and Economic Statistics,2004

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

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