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A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting

23 January 2020

Junbin Gao

Papers citing "A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting"

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Title
Estimating value at risk: LSTM vs. GARCH Weronika Ormaniec Marcin Pitera Sajad Safarveisi Thorsten Schmidt AIFin 56 1 0 21 Jul 2022