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A Statistical Neural Network Approach for Value-at-Risk Analysis
Xiaoliang Chen1; Kin Keung Lai1; Jerome Yen2
2009
Conference Name2009 International Joint Conference on Computational Sciences and Optimization
Source PublicationProceedings of the International Conference on Computational Sciences and Optimization
Conference Date24-26 April 2009
Conference PlaceSanya, 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.

DOI10.1109/CSO.2009.350
Indexed BySSCI
Language英語English
WOS Research AreaComputer Science ; Operations Research & Management Science
WOS SubjectComputer Science, Interdisciplinary Applications ; Computer Science, Theory & Methods ; Operations Research & Management Science
WOS IDWOS:000273549700004
Scopus ID2-s2.0-70449364761
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Document TypeConference paper
CollectionFaculty of Business Administration
Faculty of Science and Technology
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Affiliation1.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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