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07/21/2022
Estimating value at risk: LSTM vs. GARCH
Estimating value-at-risk on time series data with possibly heteroscedast...
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12/01/2020
Deep dynamic modeling with just two time points: Can we still allow for individual trajectories?
Longitudinal biomedical data are often characterized by a sparse time gr...
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10/20/2020
Unbiased estimation and backtesting of risk in the context of heavy tails
While the estimation of risk is an important question in the daily busin...
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04/16/2020