forecasting tail risk; neural network quantile projections; linear quantile projections; direct and iterated auto-regressive models and value at risk
Os, B. van
hdl.handle.net/2105/53589
Econometrie
Erasmus School of Economics

Hagesteijn, D.M. (2020, November 13). Improving Tail Risk Forecasts with a Quantile Projection Neural Network. Econometrie. Retrieved from http://hdl.handle.net/2105/53589