False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network
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DOI: 10.1016/j.ribaf.2021.101610
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More about this item
Keywords
Asset allocation strategy; Target volatility; Safe haven; Recurrent neural networks; Machine Learning;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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