Multivariate time-series modeling with generative neural networks
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DOI: 10.1016/j.ecosta.2021.10.011
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- Weilong Fu & Ali Hirsa & Jorg Osterrieder, 2022. "Simulating financial time series using attention," Papers 2207.00493, arXiv.org.
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Keywords
Generative moment matching networks; Learning distributions; Copulas; Probabilistic forecasts; ARMA–GARCH model; Yield curves; Exchange rates; Dependence;All these keywords.
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