ML-QuantSubscribe

RePEcEconometrics & Forecasting

Forecasting GCC Financial Stress with Neural Networks

The research uses a One-Dimensional Convolutional Neural Network to predict financial stress in the GCC oil, stock, and bond markets, and finds that financial stress indices and oil significantly improve forecasting performance and risk hedging.

Featured in No. 12 on 17 Aug 2023 · on release day

Released
17 Aug 2023
First featured
No. 12 · 17 Aug 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
17
Identifier
RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09387-3

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page