Deep-learning models for forecasting financial risk premia and their interpretations

DOI10.1080/14697688.2023.2203844zbMath1520.91413MaRDI QIDQ6166211

No author found.

Publication date: 2 August 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

machine learningrandom forestexplainable AIfintechreturn predictiondeep modelsrisk-premia prediction

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Autoencoder asset pricing models
• Common risk factors in the returns on stocks and bonds

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