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garch model

3 papers

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Also known as

GARCH

Co-occurring keywords · papers mentioning both

financial time series (2) volatility forecasting (1) finite sample inference (1) score permutation (1) conditional heteroskedasticity (1) multivariate modeling (1) financial return (1) neural network (1) financial forecasting (1) extreme value theory (1)

Papers

From GARCH to Neural Network for Volatility Forecast AAAI 2024 Cross-sectional Learning of Extremal Dependence among Financial Assets NeurIPS 2019 Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models AISTATS 2016