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Richard Gerlach

Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model

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Aug 24, 2024
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DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling

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Sep 05, 2023
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A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting

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Jan 23, 2020
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Manifold Optimisation Assisted Gaussian Variational Approximation

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Feb 11, 2019
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Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series

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Feb 09, 2019
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Fighting Accounting Fraud Through Forensic Data Analytics

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May 08, 2018
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