3 papers
stat.ML2026
Distributional Off-Policy Evaluation with Deep Quantile Process Regression
Qi Kuang, Chao Wang, Yuling Jiao +1
This paper investigates the off-policy evaluation (OPE) problem from a distributional perspective. Rather than focusing solely on the expectation of the total return, as in most ex…
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…
q-fin.RM2024
Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model
Rangika Peiris, Minh-Ngoc Tran, Chao Wang +1
A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous a…