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"A Bayesian Long Short-Term Memory Model for Value at Risk and Expected ..."

Zhengkun Li et al. (2020)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2020-01-24

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  - electronic edition @ arxiv.org (open access)
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  dblp key:
  - journals/corr/abs-2001-08374
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  persistent URL:
  - https://dblp.org/rec/journals/corr/abs-2001-08374
Zhengkun Li, Minh-Ngoc Tran, Chao Wang, Richard Gerlach, Junbin Gao:
A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. CoRR abs/2001.08374 (2020)

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