Recurrent neural network GO-GARCH model for portfolio selection
Martin Burda and Adrian K. Schroeder
| Year of publication: |
2024
|
|---|---|
| Authors: | Burda, Martin ; Schroeder, Adrian K. |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 16.2024, 2, p. 67-81
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| Subject: | LSTM | machine learning | multivariate volatility forecasting | nonlinear time series | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2023-0012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015117680