2 papers
q-fin.CP2025
Deep Learning Enhanced Multivariate GARCH
Haoyuan Wang, Chen Liu, Minh-Ngoc Tran +1
This paper introduces a novel multivariate volatility modeling framework, named Long Short-Term Memory enhanced BEKK (LSTM-BEKK), that integrates deep learning into multivariate GA…
econ.EM2025
Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting
Chen Liu, Minh-Ngoc Tran, Chao Wang +2
Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial. In this study, we demonstrate that the…