Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?
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DOI: 10.1016/j.frl.2023.103707
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- Shu, Qi & Xiong, Heng & Jiang, Wenjun & Mamon, Rogemar, 2023. "A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models," Finance Research Letters, Elsevier, vol. 58(PC).
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Keywords
Financial contagion; Hybrid models; Deep learning; LSTM; ANN;All these keywords.
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