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…
stat.ME2022
Causal Vector Autoregression Enhanced with Covariance and Order Selection
Marianna Bolla, Dongze Ye, Haoyu Wang +6
A causal vector autoregressive (CVAR) model is introduced for weakly stationary multivariate processes, combining a recursive directed graphical model for the contemporaneous compo…