5 papers
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…
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…
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…
Semi-parametric financial risk forecasting incorporating multiple realized measures
Rangika Peiris, Chao Wang, Richard Gerlach +1
A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed. The proposed framework extends the…
Financial Volatility and Risk Forecasting Incorporating a Larger Number of Realized Measures
Qianli Zhao, Chao Wang, Richard Gerlach +2
Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volati…