Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average … forecasting performance. However, it is less efficient in capturing the bitcoin market’s extreme events. Moreover, the RNN shows …