Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting

Author:

Michańków Jakub,Kwiatkowski Łukasz,Morajda Janusz

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference49 articles.

1. Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models;C Aloui;Finance a Uver: Czech Journal of Economics & Finance,2015

2. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models;C Aloui;Energy Policy, Greater China Energy: Special Section with regular papers,2010

3. GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts;D Ardia;Economics Letters,2014

4. Generalized Autoregressive Conditional Heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

5. Volatility measures and Value-at-Risk;D Bams;International Journal of Forecasting,2017

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