Recurrent Conditional Heteroskedasticity
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Cited by:
- Chen Liu & Minh-Ngoc Tran & Chao Wang & Richard Gerlach & Robert Kohn, 2023. "Data Scaling Effect of Deep Learning in Financial Time Series Forecasting," Papers 2309.02072, arXiv.org, revised May 2024.
- Martin Magris & Alexandros Iosifidis, 2023. "Variational Inference for GARCH-family Models," Papers 2310.03435, arXiv.org.
- Chen Liu & Chao Wang & Minh-Ngoc Tran & Robert Kohn, 2023. "Deep Learning Enhanced Realized GARCH," Papers 2302.08002, arXiv.org, revised Oct 2023.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2020-11-16 (Econometrics)
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- NEP-FOR-2020-11-16 (Forecasting)
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