Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?-Reference-Cited by-同舟云学术

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Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?

Published:2023-06 Issue: Volume:54 Page:103707
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Rayadurgam Vikram Chandramouli^ORCID,Mangalagiri Jayasree

Publisher

Elsevier BV

Subject

Finance

Reference42 articles.

1. A new approach to measuring financial contagion;Bae;Rev. Financ. Stud.,2003

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econom.,1986

3. A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets;Boubaker;Energy Econ.,2017

4. Oil price shocks and stock market returns: new evidence from the United States and China;Broadstock;J. Int. Financ. Mark. Instit. Money,2014

5. The transmission of international stock market volatilities;Budd;J. Econ. Finance,2018

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models;Finance Research Letters;2023-12

2. Excuse Me Chatgpt & Bard! Can I Trust Your Data Analytical Skills? – a Academician vs Practitioner's Perspective;2023

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