Measuring systematic risk with neural network factor model
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Cites work
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- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- Deep learning
- Deep learning for finance: deep portfolios
- Doing Bayesian data analysis. A tutorial introduction with R, JAGS, and Stan
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Using neural networks to forecast the systematic risk of stocks
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