GARCHNet: Value‑at‑risk forecasting with GARCH models based on neural networks
Year of publication: |
2024
|
---|---|
Authors: | Buczynski, Mateusz ; Chlebus, Marcin |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 5, p. 1949-1979
|
Subject: | Value-at-risk | GARCH | Neural networks | LSTM |
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GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
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