Risk Analysis of financial time series using neural networks

  • An autoregressive-ARCH model with possible exogeneous variables is treated. We estimate the conditional volatility of the model by applying feedforward networks to the residuals and prove consistency and asymptotic normality for the estimates under the rate of feedforward networks complexity. Recurrent neural networks estimates of GARCH and value-at-risk is studied. We prove consistency and asymptotic normality for the recurrent neural networks ARMA estimator under the rate of recurrent networks complexity. We also overcome the estimation problem in stochastic variance models in discrete time by feedforward networks and the introduction of a new distributions on the innovations. We use the method to calculate market risk such as expected shortfall and Value-at risk. We tested this distribution together with other new distributions on the GARCH family models against other common distributions on the financial market such as Normal Inverse Gaussian, normal and the Student's t- distributions. As an application of the models, some German stocks are studied and the different approaches are compared together with the most common method of GARCH(1,1) fit.
  • Risikoquantifizierung für Finanzzeitreihen mit neuronalen Netzen
Metadaten
Author:Charles Andoh
URN (permanent link):urn:nbn:de:hbz:386-kluedo-18303
Advisor:Jürgen Franke
Document Type:Doctoral Thesis
Language of publication:English
Year of Completion:2005
Year of Publication:2005
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2005/03/03
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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