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A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting.
Zhengkun Li
Minh-Ngoc Tran
Chao Wang
Richard Gerlach
Junbin Gao
Published in:
CoRR (2020)
Keyphrases
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bayesian estimation
posterior distribution
probability distribution
prediction model
probabilistic model
neural network
decision making
high level
markov chain
parameter estimation
statistical model
recurrent neural networks
formal model
decision theoretic
bayesian model