利用深度量化回归、基于 GANs 的情景生成和异质市场假说预测 VaR 和 ES

IF 6.9 1区 经济学 Q1 BUSINESS, FINANCE
Jianzhou Wang, Shuai Wang, Mengzheng Lv, He Jiang
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Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis
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来源期刊
Financial Innovation
Financial Innovation Economics, Econometrics and Finance-Finance
CiteScore
11.40
自引率
11.90%
发文量
95
审稿时长
5 weeks
期刊介绍: Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.
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