Browse by Person
 | Up a level |
Article
Chronopoulos, Ilias and Raftapostolos, Aristeidis and Kapetanios, George (2023) Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression. Journal of Financial Econometrics, 22 (3). pp. 636-669. DOI https://doi.org/10.1093/jjfinec/nbad014
Chronopoulos, Ilias Christos and Giraitis, Liudas and Kapetanios, George (2022) Choosing between persistent and stationary volatility. Annals of Statistics, 50 (6). pp. 3466-3483. DOI https://doi.org/10.1214/22-AOS2236
Monograph
Chronopoulos, Ilias and Raftapostolos, Aristeidis and Kapetanios, George (2023) Forecasting Value-at-Risk using deep neural network quantile regression. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Chronopoulos, Ilias and Giraitis, Liudas and Kapetanios, George (2022) Choosing between persistent and stationary volatility. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)