A dilated causal CNN trained with quantile regression on multiple stocks forecasts one-day-ahead Value at Risk with exceedance rates close to nominal levels.
Value at risk when daily changes in market variables are not normally distributed
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Quantile Convolutional Neural Networks for Value at Risk Forecasting
A dilated causal CNN trained with quantile regression on multiple stocks forecasts one-day-ahead Value at Risk with exceedance rates close to nominal levels.