Forecasting stock volatility and value-at-risk based on temporal convolutional networks

Author:

Zhang Chun-XiaORCID,Li JunORCID,Huang Xing-FangORCID,Zhang Jiang-SheORCID,Huang Hua-ChuanORCID

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference54 articles.

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2. Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A Bayesian approach;Abanto-Valle;Journal of Statistical Planning and Inference,2011

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4. An empirical evaluation of generic convolutional and recurrent networks for sequence modeling;Bai,2018

5. Multivariate GARCH models: A survey;Bauwens;Journal of Applied Econometrics,2006

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