A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness

IF 1.8 3区经济学 Q2 ECONOMICS

Applied Economics Pub Date : 2024-08-13 DOI:10.1080/00036846.2024.2385747

Tuhin Subhra De, Madeti Karthikeya, Sujoy Bhattacharya

引用次数: 0

Abstract

Tail risk inter-connectivity is a significant aspect and a risk indicator that should be focused on. Many of the previous works have shown potential non-linearity in tail risk contagion. With the r...

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估计尾部风险相互关联性的非线性 Lasso 和可解释 LSTM 方法

尾部风险的相互关联性是一个重要方面，也是一个应重点关注的风险指标。之前的许多研究都显示了尾部风险传染的潜在非线性。随着尾部风险的...

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来源期刊

Applied Economics ECONOMICS-

CiteScore

3.80

自引率

4.50%

发文量

525

期刊介绍： Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality. Contributions which make use of the methods of mathematics, statistics and operations research will be welcomed, provided the conclusions are factual and properly explained.