Recurrent neural network go-GARCH model for portfolio selection

DOI10.1515/jtse-2023-0012MaRDI QIDQ6631643

Martin Burda, Adrian K. Schroeder

Publication date: 1 November 2024

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

zbMATH Keywords

nonlinear time seriesmachine learningLSTMmultivariate volatility forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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