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A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting
23 January 2020
Zhengkun Li
Minh-Ngoc Tran
Chao Wang
Richard Gerlach
Junbin Gao
BDL
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Papers citing
"A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting"
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Estimating value at risk: LSTM vs. GARCH
Weronika Ormaniec
Marcin Pitera
Sajad Safarveisi
Thorsten Schmidt
AIFin
255
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21 Jul 2022
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