A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness-Reference-Cited by-同舟云学术

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A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness

Published:2024-08-13 Issue: Volume: Page:1-15
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

De Tuhin Subhra¹,Karthikeya Madeti¹²,Bhattacharya Sujoy³

Affiliation:

1. Department of Civil Engineering, Indian Institute of Technology Kharagpur, West Bengal, India

2. Department of Mechanical Engineering, Indian Institute of Technology Kharagpur, West Bengal, India

3. Business School, Edinburgh Napier University, Edinburgh, UK

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2024.2385747

Reference27 articles.

1. CoVaR

2. Tail risk measurement in crypto-asset markets

3. Tail risk and return predictability for the Japanese equity market

4. Global Systemically Important Banks: Updated Methodology and the Higher Loss Absorbency Requirement;Basel;Banking for International Settlements,2013

5. Predicting stock market index using LSTM

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