Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?
Vikram Chandramouli Rayadurgam, Jayasree Mangalagiri
| Year of publication: |
2023
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| Authors: | Rayadurgam, Vikram Chandramouli ; Mangalagiri, Jayasree |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-9
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| Subject: | Deep learning | Financial contagion | ANN | Hybrid models | LSTM | Ansteckungseffekt | Contagion effect | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Finanzkrise | Financial crisis | Lernen | Learning | Lernprozess | Learning process | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103707 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014472648