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"A Bayesian Long Short-Term Memory Model for Value at Risk and Expected ..."
Zhengkun Li et al. (2020)
- Zhengkun Li, Minh-Ngoc Tran, Chao Wang, Richard Gerlach, Junbin Gao:
A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. CoRR abs/2001.08374 (2020)
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