| عنوان فارسی مقاله: | مدل شبکه عصبی رگرسیون خودکار چندک با کاربردهایی در ارزیابی ارزش در ریسک |
| عنوان انگلیسی مقاله: | Quantile autoregression neural network model with applications to evaluating value at risk |
چکیده
1. پیشگفتار
2. مرور نوشتجات
3. راه‌اندازی مدل
3.1. خودرگرسیون چندک
3.2. تاخیر توزیع شده‌ی خودرگرسیو (خودکاهشی) چندک
3.3. ارزش در ریسک خودرگرسیو شرطی
3.4. شبکه‌ی عصبی خودرگرسیون چندک
3.4.1. مشخصات مدل
3.4.2. تخمین مدل
3.4.3. انتخاب مدل
4. آزمایش‌های عددی
4.1. روش‌های تخمین VaR کلاسیکی
4.1.1. مدل ریسک متریک
4.1.2. مدل GARCH-EVT
4.1.3. مدل PCC
4.2. شبیه‌سازی‌های مونت کارلو
4.2.2. ارزیابی VaR
4.2.3. نتایج عملکرد
4.3. کاربردهای واقعی
4.3.1. داده‌ها جهان واقعی
4.3.2. عملکرد مدل QARNN
5. نتیجه‌گیری‌ها
کلمات کلیدی :
Quantile autoregression neural network model ... - ACM Digital Library dl.acm.org/citation.cfm?id=3061944 by Q Xu - 2016 - Cited by 1 - Related articles Dec 1, 2016 - Graphical abstractA novel quantile autoregression neural network (QARNN) model is proposed that combines an artificial neural network ... Quantile autoregression neural network model with applications to ... bura.brunel.ac.uk › ... › Dept of Mathematics › Dept of Mathematics Research Papers by Q Xu - 2016 - Related articles Abstract: We develop a new quantile autoregression neural network (QARNN) model based on an artificial neuralnetwork architecture. The proposed QARNN ... Quantile autoregression neural network model - Brunel University ... bura.brunel.ac.uk/bitstream/2438/13197/1/Fulltext.pdf Feb 21, 2016 - We develop a new quantile autoregression neural network ... autoregression neural network (QARNN) model by adding an artificial neural net-. Time Series Analysis: Methods and Applications https://books.google.com/books?isbn=0444538585 Tata Subba Rao, Suhasini Subba Rao, Calyampudi Radhakrishna Rao - 2012 - Mathematics ... 631 Autoregression quantile process, 220 Autoregressive (AR) model, 302, ... 624, 628-630 ANN models, see Artificial neural network models ar () function, ... Handbook of Statistics: Time Series Analysis: Methods and Applications https://books.google.com/books?isbn=0444538631 2012 - Mathematics ... models, see Autoregressive conditional root models Additive quantile model, ... 624, 628–630 ANN models, see Artificial neural network models ar() function, ... Risk Measurement, Econometrics and Neural Networks: Selected ... https://books.google.com/books?isbn=3642582729 Georg Bol, Gholamreza Nakhaeizadeh, Karl-Heinz Vollmer - 2012 - Business & Economics (a – X, F.0-$1,200 (+): "(*#): ". and the o-quantile of this estimate yields the conditional ... Yi-1, to Yi-p, then we arrive at a nonparametric quantile autoregression. [PDF]A Quantile Regression Neural Network ... - University of Oxford users.ox.ac.uk/~mast0315/QuRegNeuralNet.pdf by JW Taylor - 2000 - Cited by 100 - Related articles A neural network is used to estimate the potentially nonlinear quantile models. .... Autoregressive Conditional Heteroskedastic (GARCH) models which enables ...