"Learning extreme expected shortfall and conditional tail moments with ..."

Michaël Allouche, Stéphane Girard, Emmanuel Gobet (2025)

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DOI: 10.1016/J.NEUNET.2024.106903

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type: Journal Article

metadata version: 2025-01-05

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Michaël Allouche, Stéphane Girard, Emmanuel Gobet:
Learning extreme expected shortfall and conditional tail moments with neural networks. Application to cryptocurrency data. Neural Networks 182: 106903 (2025)

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