most citedCombining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting

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stat.ME2024★ 1 cited

A Bayesian nonlinear stationary model with multiple frequencies for business cycle analysis

Łukasz Lenart, Łukasz Kwiatkowski, Justyna Wróblewska

We design a novel, nonlinear single-source-of-error model for analysis of multiple business cycles. The model's specification is intended to capture key empirical characteristics o…