Residential College | false |
Status | 已發表Published |
A Statistical Neural Network Approach for Value-at-Risk Analysis | |
Xiaoliang Chen1; Kin Keung Lai1; Jerome Yen2 | |
2009 | |
Conference Name | 2009 International Joint Conference on Computational Sciences and Optimization |
Source Publication | Proceedings of the International Conference on Computational Sciences and Optimization |
Conference Date | 24-26 April 2009 |
Conference Place | Sanya, Hainan, China |
Abstract | This study develops a new methodology based on ANN for Value-at-Risk (VaR) modeling. Specifically, we propose a statistical procedure for ANN model selection. The statistical ANN deals with each layer individually and estimates the weights of subsequent layer with those of preceding layers fixed. This allows the derivation of statistical theory for model selection, which reduces the need to fit a comprehensive set of models. Experiment results show that the statistical ANN approach performs well on stock index return series compared to traditional forecasting methods. |
DOI | 10.1109/CSO.2009.350 |
Indexed By | SSCI |
Language | 英語English |
WOS Research Area | Computer Science ; Operations Research & Management Science |
WOS Subject | Computer Science, Interdisciplinary Applications ; Computer Science, Theory & Methods ; Operations Research & Management Science |
WOS ID | WOS:000273549700004 |
Scopus ID | 2-s2.0-70449364761 |
Fulltext Access | |
Citation statistics | |
Document Type | Conference paper |
Collection | Faculty of Business Administration Faculty of Science and Technology DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT |
Affiliation | 1.Department of Management Sciences, City University of Hong Kong Tat Chee Avenue, Kowloon, Hong Kong 2.Department of Finance, The Hong Kong University of Science and Technology Clear Water Bay, Kowloon, Hong Kong |
Recommended Citation GB/T 7714 | Xiaoliang Chen,Kin Keung Lai,Jerome Yen. A Statistical Neural Network Approach for Value-at-Risk Analysis[C], 2009. |
APA | Xiaoliang Chen., Kin Keung Lai., & Jerome Yen (2009). A Statistical Neural Network Approach for Value-at-Risk Analysis. Proceedings of the International Conference on Computational Sciences and Optimization. |
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