A Statistical Recurrent Stochastic Volatility Model for Stock Markets

v1v2v3 (latest)

A Statistical Recurrent Stochastic Volatility Model for Stock Markets

7 June 2019

Trong-Nghia Nguyen

ArXiv (abs)PDF HTML

Papers citing "A Statistical Recurrent Stochastic Volatility Model for Stock Markets"

7 / 7 papers shown

Title
Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model Rangika Peiris Minh-Ngoc Tran Chao Wang Richard Gerlach 18 0 0 24 Aug 2024
Variational Inference for GARCH-family Models M. Magris Alexandros Iosifidis 117 1 0 05 Oct 2023
From Deep Filtering to Deep Econometrics Robert Stok Paul Bilokon 39 0 0 13 Sep 2023
Generalized Autoregressive Score Trees and Forests Andrew J. Patton Yasin Şimşek 47 3 0 30 May 2023
Bayesian Neural Networks for Macroeconomic Analysis Niko Hauzenberger Florian Huber K. Klieber Massimiliano Marcellino BDL 81 8 0 09 Nov 2022
Estimating value at risk: LSTM vs. GARCH Weronika Ormaniec Marcin Pitera Sajad Safarveisi Thorsten Schmidt AIFin 48 1 0 21 Jul 2022
Statistical Deep Learning for Spatial and Spatio-Temporal Data C. Wikle A. Zammit‐Mangion BDL 147 49 0 05 Jun 2022