Value-at-risk forecasting- based on textual information and a hybrid deep learning-based approach
Yangfan Cao, Wei Chong Choo, Bolaji Tunde Matemilola
| Year of publication: |
2025
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|---|---|
| Authors: | Cao, Yangfan ; Choo, Wei Chong ; Matemilola, Bolaji Tunde |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 103.2025, Art.-No. 104403, p. 1-16
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| Subject: | GARCH | Sentiment analysis | VaR | LSTM | NLP | CNN | Risikomaß | Risk measure | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2025.104403 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015470184